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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.

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Metadaten
Author:Denis Belomestny, Stanley Mathew, John Schoenmakers
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
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