# Cheyette model

##### Bermudan swaption model risk analysis: a local volatility approach

This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.

##### Multicurve modelling is about to get more complex

Research into rates pricing is becoming more urgent given recent regulatory changes

##### The present of futures

Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments

##### A nonparametric local volatility model for swaptions smile

This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.

##### Non-parametric local volatility formula for interest rate swaptions

Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions