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dc.contributor.authorBelomestny, Denisen_US
dc.contributor.authorMatthew, Stanleyen_US
dc.contributor.authorSchoenmakers, John G. M.en_US
dc.date.accessioned2008-02-20en_US
dc.date.accessioned2009-07-23T15:03:24Z-
dc.date.available2009-07-23T15:03:24Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/25239-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2007,067en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordLibor modellingen_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordCIR processesen_US
dc.subject.keywordcalibrationen_US
dc.subject.stwLIBOR Market Modellen_US
dc.subject.stwZinstermingeschäften_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwRobustes Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleA stochastic volatility libor model and its robust calibrationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn558648975en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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