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Stochastic volatility with an Ornstein-Uhlenbeck process : an extension

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A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …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 …

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Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur

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Arbitrage-free market models for liquid options

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Discrete time modeling of mean-reverting stochastic processes for real option valuation

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How to price efficiently European options in some geometric Lévy processes models?

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Pricing, hedging, and calibration in jump-diffusion models

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Pricing CDOs with a smile : the local correlation model

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A Gaussian approximation scheme for computation of option prices in stochastic volatility models

Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58

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