Arbeitspapier
A stochastic volatility libor model and its robust calibration
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to implement.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2007,067
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Libor modelling
stochastic volatility
CIR processes
calibration
LIBOR Market Modell
Zinstermingeschäft
Optionspreistheorie
Volatilität
Stochastischer Prozess
Robustes Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belomestny, Denis
Matthew, Stanley
Schoenmakers, John G. M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Belomestny, Denis
- Matthew, Stanley
- Schoenmakers, John G. M.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2007
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