Calibration of Lévy term structure models

MaRDI QIDQ5506188zbMATH OpenFDO

Authors Ernst Eberlein, Wolfgang Kluge

Publication date 28 January 2009

zbMATH Keywords

calibrationforward rate modelLévy processesmarket models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(16)

• Efficient calibration of trinomial trees for one-factor short rate models
• Calibration of self-decomposable Lévy models
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• A bootstrapping market implied moment matching calibration for models with time-dependent parameters
• Estimation and Calibration of Lévy Models via Fourier Methods
• An Edgeworth approximation for the calibration of a Lévy hybrid model using the physical measure
• Correlations in Lévy interest rate models
• A general HJM framework for multiple yield curve modelling
• Affine LIBOR models with multiple curves: theory, examples and calibration
• scientific article; zbMATH DE number 5346998 (Why is no real title available?)
• Calibrating the Black-Derman-Toy model: some theoretical results
• Lévy hybrid models. Modelling, evaluation, calibration
• Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
• Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
• Approximate option pricing in the Lévy Libor model
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model

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