Moment Explosion in the LIBOR Market Model
AbstractIn the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1008.2104.
Date of creation: Aug 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-08-21 (All new papers)
- NEP-FMK-2010-08-21 (Financial Markets)
- NEP-MON-2010-08-21 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alan Brace & Dariusz G�atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(2), pages 127-155.
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