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About Libor Market Model
The document summarizes the LIBOR market model (LMM), which models the dynamics of the entire term structure of interest rates using LIBOR forwards as building blocks. It describes the LMM dynamics through a set of stochastic differential equations driven by a correlated Wiener process, ensuring no arbitrage. The drift terms are chosen such that each LIBOR forward is a martingale under its corresponding forward measure. The volatility functions and correlation structure can be calibrated to approximate derivative prices like swaptions.
Detailed Information
| Author: | ['Vaibhav Vijay'] |
|---|---|
| Publication Year: | 2017 |
| Pages: | 16 |
| Language: | English |
| Format: | |
| Price: | FREE |
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