Moment explosion in the LIBOR market model (Q633049)

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Moment explosion in the LIBOR market model
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    title
    Moment explosion in the LIBOR market model (English)
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    author
    Stefan Gerhold
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    publication date
    31 March 2011
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    zbMATH DE Number
    5872507
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    zbMATH Keywords
    LIBOR market model
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    moment explosion
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    distribution tails
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