In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

We construct Hybrid Equity and multi-currency models with stochastic volatility and jump diffusion and correlated …. We model the interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an … interest rate smile. The spot Equity or FX rate is governed by stochastic volatility and jump diffusion with stochastic …

unspanned stochastic volatility. Motivated by empirical evidence, hump-shaped level dependent stochastic volatility … correlation structure between the stochastic volatility, default-free interest rates and credit spreads. Default free and … the impact of the model parameters including correlations and stochastic volatility, on the credit swap rate and the value …

The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … calibration based on the market European swaption implied volatility surface. The first part of the thesis will briefly review the … rate volatility. In particular the thesis will follow the approach described by Wu and Zhang 2006. This approach allows a …