A stochastic volatility Libor model and its robust calibration
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1276 | |
| dc.contributor.author | Belomestny, Denis | |
| dc.contributor.author | Mathew, Stanley | |
| dc.contributor.author | Schoenmakers, John G.M. | |
| dc.date.accessioned | 2016-03-24T17:38:19Z | |
| dc.date.available | 2019-06-28T08:02:48Z | |
| dc.date.issued | 2007 | |
| 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 procedure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to implement. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/1913 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1920 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Libor modelling | eng |
| dc.subject.other | stochastic volatility | eng |
| dc.subject.other | CIR processes | eng |
| dc.subject.other | calibration | eng |
| dc.title | A stochastic volatility Libor model and its robust calibration | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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