The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional … distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility … interest rate futures for the conduct of monetary policy in Italy, at times when significant regime shifts have occurred. Risk …

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 …