proem

Economics, Econometrics and Finance

5 years ago

LIBOR Market Model Reveals Log-Normal Tail Distributions, Impacting Interest Rates

arXiv (Cornell University)

Moment Explosion in the LIBOR Market Model

Stefan Gerhold

Paper Summary

Economics, Econometrics and Finance

5 years ago

LIBOR Market Model Reveals Log-Normal Tail Distributions, Impacting Interest Rates

arXiv (Cornell University)

Moment Explosion in the LIBOR Market Model

Stefan Gerhold

Paper Summary

The LIBOR market model shows that forward interest rates have log-normal distributions. The study found that these rates also have log-normal tails under different forward measures.

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The LIBOR market model shows that forward interest rates have log-normal distributions. The study found that these rates also have log-normal tails under different forward measures.