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Robust libor modelling and pricing of derivative products
Schoenmakers, John - 2005
Persistent link: https://www.econbiz.de/10001984160
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
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...
Persistent link: https://www.econbiz.de/10003635097
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A jump-diffusion Libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003324469
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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - 2011
Persistent link: https://www.econbiz.de/10009152332
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Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
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Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure
Schoenmakers, John (contributor); Coffey, Brian (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001544421
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Lognormal random field approximations to LIBOR market models
Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]
We study several approximations for the LIBOR market models presented in Brace, Gatarek, Musiela (1997), Jamshidian (1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random...
Persistent link: https://www.econbiz.de/10001544522