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 …

.We address the problem of the consistency of the Black-Scholes model with the volatility surface and we show that, under general … conditions, the Black-Scholes formula cannot be generalized to account for the volatility smile …

This paper proposes a term structure model with macro VAR in a stochastic volatility setting. The specific feature of … macroeconomic research: the DSGE-VAR with stochastic volatility and the macro-finance model of term structure. The baseline model … yields; 2) volatility is a curvature factor of the yield curve, and the net effect of the time-varying variance …

We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G …

option under jump-diffusion, stochastic interest rate and local volatility. The corresponding forward Kolmogorov partial …

nonlinearity and asymmetry in the drift, and incorporates the level effect and stochastic volatility in the diffusion function is … asymmetric drift of the short rate, and the presence of nonlinearity, GARCH, and level effects in its volatility. The empirical … volatility of interest rate changes …

volatility-induced stationarity. Our model employs a level-dependent conditional volatility that maintains stationarity despite …