Moment explosion in the LIBOR market model

DOI10.1016/j.spl.2011.01.009zbMath1208.91152arXiv1008.2104OpenAlexW1968851955MaRDI QIDQ633049

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

distribution tailsLIBOR market modelmoment explosion

Mathematics Subject Classification ID

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

Related Items (3)

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

Cites Work

• The Market Model of Interest Rate Dynamics
• Arbitrage Theory in Continuous Time
• Interest rate models -- theory and practice
• Unnamed Item

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