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.
Author: | Denis Belomestny, John Schoenmakers |
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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 |