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Type: Report × Subject: calibration ×

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Now showing 1 - 3 of 3
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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.
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    A jump-diffusion Libor model and tits robust calibration
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2006) Belomestrny, Denis; Schoenmakers, John G.M.
    In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The algorithm returns smooth and simply structured Lévy densities, and penalizes the deviation from the Libor market model. In practice, the procedure is FFT based, thus fast, easy to implement, and yields good results, particularly in view of the ill-posedness of the underlying inverse problem.
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    Affine LIBOR models with multiple curves: Theory, examples and calibration
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2014) Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John G.M.; Skovmand, David
    We introduce a multiple curve LIBOR framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which allows to derive Fourier pricing formulas for caps, swaptions and basis swaptions. A model specification with dependent LIBOR rates is developed, that allows for an efficient and accurate calibration to a system of caplet prices.