A jump-diffusion Libor model and its robust calibration

DOI10.1080/14697680903295176zbMath1214.91117OpenAlexW2155696277MaRDI QIDQ3005814

Denis Belomestny, John G. M. Schoenmakers

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903295176

zbMATH Keywords

Monte Carlo methodsAmerican optionsstatistical methodsLIBOR market models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives ⋮ The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension ⋮ Calibration of self-decomposable Lévy models ⋮ Confidence sets in nonparametric calibration of exponential Lévy models ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ The Markov-switching jump diffusion LIBOR market model ⋮ CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS ⋮ Approximate Option Pricing in the Lévy Libor Model

Cites Work

• Spectral calibration of exponential Lévy models
• LIBOR and swap market models and measures
• Spatial aggregation of local likelihood estimates with applications to classification
• The Market Model of Interest Rate Dynamics
• Robust Libor Modelling and Pricing of Derivative Products
• The Term Structure of Simple Forward Rates with Jump Risk
• Financial Modelling with Jump Processes

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