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Author: Mathew, Stanley × Type: Report ×

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    A stochastic volatility Libor model and its robust calibration
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2007) Belomestny, Denis; Mathew, Stanley; Schoenmakers, John G.M.
    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.