Belomestny, Denis; Matthew, Stanley; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
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. …
calibration
Denis Belomestny*
Stanley Matthew**
John Schoenmakers*
* Weierstrass Institute Berlin, Germany
** Johann …