TY - GEN A1 - Belomestny, Denis A1 - Mathew, Stanley A1 - Schoenmakers, John T1 - A stochastic volatility Libor model and its robust calibration N2 - 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. Y1 - 2008 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/444 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-4442 ER -