Resource title

A stochastic volatility libor model and its robust calibration

Resource image

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Resource description

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.

Resource author

Denis Belomestny, Stanley Matthew, John G. M. Schoenmakers

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25239

Resource license

Adapt according to the presented license agreement and reference the original author.