---
title: Interest Rates Stochastic Volatility Model
url: https://www.ml-quant.com/papers/ssrn/4733044/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4733044
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4733044
featured: 2024-02-21
citations: unknown
topic: Derivatives & Volatility
---


# Interest Rates Stochastic Volatility Model

The lognormal stochastic volatility model is introduced in the single-factor Cheyette model for interest rate dynamics, demonstrating robustness and accuracy in fitting market implied volatilities.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4733044
- Identifier: SSRN 4733044
- Released: 2023-01-02
- First featured: Quant Letter No. 38 (2024-02-21): https://www.ml-quant.com/issues/2024-02-21/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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