Search Results - subject:"CIR processes"

Narrow search

Did you mean: subject:"CIR process" (769 results)

Pricing arithmetic Asian options under jump diffusion CIR processes

Park, Jong Jun; Jang, Hyun Jin; Jang, Jiwook - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436988

A stochastic volatility libor model and its robust calibration

Belomestny, Denis; Matthew, Stanley; Schoenmakers, John … - 2007

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...

Persistent link: https://www.econbiz.de/10010276591

A stochastic volatility Libor model and its robust calibration

Belomestny, Denis; Matthew, Stanley; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

volatility, CIR processes, calibration AMS 2000 Subject Classification: 60G51, 62G20, 60H05, 60H10, 90A09, 91B28 JEL …-Heston type model, where each forward Libor is driven by a linear combination of CIR processes. 3. While in both papers the issue …

Persistent link: https://www.econbiz.de/10005677910