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. …

comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff …-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the … direct integration method at least seven times faster than the calibration with the fractional FFT method. …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …. Therefore, we apply derivative-free techniques and find that they stabilize the calibration. Furthermore, we identify auspicious …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …