Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25239
Authors: 
Belomestny, Denis
Matthew, Stanley
Schoenmakers, John G. M.
Year of Publication: 
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

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