Belomestny, Denis; Schoenmakers, John - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
In this paper we propose a jump-diffusion Libor model with jumps in ahigh-dimensional space (R^m) and test a stable non-parametric calibrationalgorithm which takes into account a given local covariance structure.The algorithm returns smooth and simply structured Lévy densities, andpenalizes the...
