A stochastic volatility Libor model and its robust calibration
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration procedure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to implement.
|Date of creation:||Dec 2007|
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- Denis Belomestny & John Schoenmakers, 2010.
"A jump-diffusion Libor model and its robust calibration,"
Taylor & Francis Journals, vol. 11(4), pages 529-546.
- Denis Belomestny & John Schoenmakers, 2006. "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers SFB649DP2006-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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