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Cheyette model

Cheyette Model is a quasi-Gaussian quadratic volatility model of interest rates which is aiming to overcome certain limitations of the Heath-Jarrow… 
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Papers overview

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2015
2015
Pricing Credit Value Adjustment for Interest Rate Swaps under the Cheyette model - A Least-Squares Monte Carlo approach
In this thesis we consider two alternatives to the Brute Force approach for credit value adjustment (CVA) calculations for… 
2014
2014
Empire of Hope and Tragedy: Jordanes and the Invention of Roman-Gothic History
...............................................................................................ii Acknowledgements… 
1970
1970
Some reflections on violence, reconciliation and the « feudal revolution », Fredric Cheyette (2003)
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