Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25239 
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dc.contributor.authorBelomestny, Denisen
dc.contributor.authorMatthew, Stanleyen
dc.contributor.authorSchoenmakers, John G. M.en
dc.date.accessioned2008-02-20-
dc.date.accessioned2009-07-23T15:03:24Z-
dc.date.available2009-07-23T15:03:24Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2007,067en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordLibor modellingen
dc.subject.keywordstochastic volatilityen
dc.subject.keywordCIR processesen
dc.subject.keywordcalibrationen
dc.subject.stwLIBOR Market Modellen
dc.subject.stwZinstermingeschäften
dc.subject.stwOptionspreistheorieen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwRobustes Verfahrenen
dc.subject.stwTheorieen
dc.titleA stochastic volatility libor model and its robust calibration-
dc.type|aWorking Paperen
dc.identifier.ppn558648975en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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