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A jump-diffusion Libor model and its robust calibration

Please always quote using this URN:urn:nbn:de:0296-matheon-4456
  • In practice, the procedure is FFT based, thus fast, easy to implement, and yields good results, particularly in view of the severe ill-posedness of the underlying inverse problem.

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Metadaten
Author:Denis Belomestny, John Schoenmakers
URN:urn:nbn:de:0296-matheon-4456
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:430
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