EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:
Title:A stochastic volatility libor model and its robust calibration PDF Logo
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
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
558648975.PDF536.58 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.