@techreport{Belomestny2007stochastic,
abstract = {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.},
address = {Berlin},
author = {Denis Belomestny and Stanley Matthew and John G. M. Schoenmakers},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; 330; Libor modelling; stochastic volatility; CIR processes; calibration; LIBOR Market Modell; Zinstermingesch\"{a}ft; Optionspreistheorie; Volatilit\"{a}t; Stochastischer Prozess; Robustes Verfahren; Theorie},
language = {eng},
number = {2007,067},
publisher = {SFB 649, Economic Risk},
title = {A stochastic volatility libor model and its robust calibration},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/25239},
year = {2007}
}
