Moment Explosion in the LIBOR Market Model
Pricing of Securities
2010-08-13 v1 Probability
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.
Cite
@article{arxiv.1008.2104,
title = {Moment Explosion in the LIBOR Market Model},
author = {Stefan Gerhold},
journal= {arXiv preprint arXiv:1008.2104},
year = {2010}
}