Similar Search Results

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

A jump-diffusion Libor model and its robust calibration

Belomestny, Denis (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003324469

From structural assumptions to a link between assets and interrest rates

Reiß, Oliver; Schoenmakers, John; Schweizer, Martin - In: Journal of economic dynamics & control 31 (2007) 2, pp. 593-612

Persistent link: https://www.econbiz.de/10003412327

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

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

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

Iterative construction of the optimal Bermudan stopping time

Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-49

Persistent link: https://www.econbiz.de/10003234943

Endogenous interest rate dynamics in asset markets

Reiß, Oliver (contributor); Schoenmakers, John (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001593794

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

Systematic generation of parametric correlation structures for the LIBOR market model

Schoenmakers, John; Coffey, Brian - In: International journal of theoretical and applied finance 6 (2003) 5, pp. 507-519

Persistent link: https://www.econbiz.de/10001787582