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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

Implied Volatility Forward Rate Spot Rate Swap Rate Money Market Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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