Multiple stochastic volatility extension of the Libor market model and its implementation

DOI10.1515/MCMA.2009.016zbMath1182.91214MaRDI QIDQ3405598

Stanley Mathew, Denis Belomestny, John G. M. Schoenmakers

Publication date: 10 February 2010

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitycalibrationCIR processesLibor modeling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (1)

A Unified View of LIBOR Models

Cites Work

• Spectral calibration of exponential Lévy models
• LIBOR and swap market models and measures
• Holomorphic transforms with application to affine processes
• Moment explosions in stochastic volatility models
• A Theory of the Term Structure of Interest Rates
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• The Market Model of Interest Rate Dynamics
• The Term Structure of Simple Forward Rates with Jump Risk
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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