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.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2007,067
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
Libor modelling
stochastic volatility
CIR processes
calibration
LIBOR Market Modell
Zinstermingeschäft
Optionspreistheorie
Volatilität
Stochastischer Prozess
Robustes Verfahren
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Belomestny, Denis
Matthew, Stanley
Schoenmakers, John G. M.
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Belomestny, Denis
- Matthew, Stanley
- Schoenmakers, John G. M.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2007
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