Moment Explosion in the LIBOR Market Model
classification
💱 q-fin.PR
math.PR
keywords
forwardliborlog-normalmarketmeasuresmodelunderapproximately
read the original abstract
In 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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