Moment explosion in the LIBOR market model

DOI10.1016/J.SPL.2011.01.009zbMATH Open1208.91152arXiv1008.2104OpenAlexW1968851955MaRDI QIDQ633049FDOQ633049

Authors: Stefan Gerhold 

Publication date: 31 March 2011

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

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.

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

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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)

Cites Work

• Arbitrage Theory in Continuous Time
• The Market Model of Interest Rate Dynamics
• Interest rate models -- theory and practice
• 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
• Explosive behavior in a log-normal interest rate model
• Moment explosions in the rough Heston model

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