The Libor Market Model

  • Christoph Hackl
Chapter
Part of the BestMasters book series (BEST)

Abstract

L j (t) is a martingale , as stated in Definition 2.2.8, under the T j forward measure \({\mathbb{Q}^{{T_j}}}\), where we use the shorthand notation L j (t) for L(t, T j−1, T j ), j=1,...,N. We assume that the differential of L j (t) follows the following driftless SDE:
$${{d}}{{{L}}_j}{{(t) = }}{\sigma _{j}}{(t)}{{L}_{j}}{(t)d}{{W}^{j}}{(t)\; for\; t } \le {{T}_{{{j - 1}}}}$$
(3.1)

Keywords

Volatility Hedging Rebalanced 

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Copyright information

© Springer Fachmedien Wiesbaden 2014

Authors and Affiliations

  • Christoph Hackl
    • 1
  1. 1.University of Applied Sciences of bfi WienViennaAustria

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