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 prodecure 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
Authors:	Belomestny, Denis ; Matthew, Stanley ; Schoenmakers, John G. M.
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	LIBOR Market Modell \| Zinstermingeschäft \| Optionspreistheorie \| Volatilität \| Stochastischer Prozess \| Robustes Verfahren \| Theorie \| Libor modelling \| stochastic volatility \| CIR processes \| calibration

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Series:	SFB 649 Discussion Paper ; 2007-067
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	558648975 [GVK] hdl:10419/25239 [Handle] RePEc:zbw:sfb649:sfb649dp2007-067 [RePEc]
Classification:	G12 - Asset Pricing
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010276591