A stochastic volatility Libor model and its robust calibration

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration procedure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to implement.

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Year of publication:	2007-12
Authors:	Belomestny, Denis ; Matthew, Stanley ; Schoenmakers, John
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	Libor modelling \| stochastic volatility \| CIR processes \| calibration

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2007-067 26 pages
Classification:	J31 - Wage Level and Structure; Wage Differentials by Skill, Training, Occupation, etc ; I19 - Health. Other ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005677910