Stochastic Volatility for Real
22 Pages Posted: 27 Apr 2006
Date Written: March 1, 2006
Abstract
We combine classical ideas of separable volatility structures in the HJM framework with the latest techniques for calibration of stochastic volatility models and create a new class of efficient multi-factor term structure models with stochastic volatility. These models have the flexibility of as the Libor market models but the speed of the short rate models.
Keywords: Yield curve models, stochastic volatility, Markov property
JEL Classification: G13
Suggested Citation: Suggested Citation
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