Belomestny, Denis; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space (Rm) 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...