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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25239
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| Title: | | A stochastic volatility libor model and its robust calibration  |
| Authors: | | Belomestny, Denis Matthew, Stanley Schoenmakers, John G. M. |
| Issue Date: | | 2007 |
| Series/Report no.: | | SFB 649 discussion paper 2007,067 |
| 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. |
| Subjects: | | Libor modelling stochastic volatility CIR processes calibration |
| JEL: | | G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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