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https://hdl.handle.net/10419/25239
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Belomestny, Denis | en |
dc.contributor.author | Matthew, Stanley | en |
dc.contributor.author | Schoenmakers, John G. M. | en |
dc.date.accessioned | 2008-02-20 | - |
dc.date.accessioned | 2009-07-23T15:03:24Z | - |
dc.date.available | 2009-07-23T15:03:24Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://hdl.handle.net/10419/25239 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2007,067 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Libor modelling | en |
dc.subject.keyword | stochastic volatility | en |
dc.subject.keyword | CIR processes | en |
dc.subject.keyword | calibration | en |
dc.subject.stw | LIBOR Market Modell | en |
dc.subject.stw | Zinstermingeschäft | en |
dc.subject.stw | Optionspreistheorie | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Robustes Verfahren | en |
dc.subject.stw | Theorie | en |
dc.title | A stochastic volatility libor model and its robust calibration | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 558648975 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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