Moment explosion in the LIBOR market model

DOI10.1016/J.SPL.2011.01.009zbMATH Open1208.91152OpenAlexW1968851955MaRDI QIDQ633049FDOQ633049

Authors Stefan Gerhold

Publication date 31 March 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.2104

zbMATH Keywords

LIBOR market modeldistribution tailsmoment explosion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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.

Recommendations

• LIBOR market model with stochastic volatility
• A mean-field extension of the LIBOR market model
• Moment explosions in the rough Heston model
• Moment explosions in stochastic volatility models
• The Markov-switching jump diffusion LIBOR market model
• The LIBOR market model: a Markov-switching jump diffusion extension
• The Lévy LIBOR model
• Volatility skews and extensions of the Libor market model
• Libor market model under the real-world measure
• A new simulation approach to the LIBOR market model

Cites work

• Arbitrage Theory in Continuous Time
• Interest rate models -- theory and practice
• The Market Model of Interest Rate Dynamics
• Towards a central interest rate model

Cited in

(4)

• A mean-field extension of the LIBOR market model
• Eurodollar futures pricing in log-normal interest rate models in discrete time
• Moment explosions in the rough Heston model
• Explosive behavior in a log-normal interest rate model

This page was built for publication: Moment explosion in the LIBOR market model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q633049)