A stochastic volatility Libor model and its robust calibration
Please always quote using this URN:urn:nbn:de:0296-matheon-4442
- 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.
Author: | Denis Belomestny, Stanley Mathew, John Schoenmakers |
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URN: | urn:nbn:de:0296-matheon-4442 |
Referee: | Peter Imkeller |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2008/01/22 |
Release Date: | 2008/01/17 |
Institute: | Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) |
Preprint Number: | 429 |