A stochastic volatility Libor model and its robust calibration

In this paper we propose a Libor model with a high-dimensional speciallystructured system of driving CIR volatility processes. A stablecalibration procedure which takes into account a given local correlationstructure is presented. The calibration algorithm is FFT based, so fastand easy to implement.

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Year of publication:	2007-12-10
Authors:	Belomestny, Denis ; Matthew, Stanley ; Schoenmakers, John
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Volatilität \| Zinsfuß \| Kalibrieren <Messtechnik>

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Extent:	548864 bytes 26 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2007-067
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005860831