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What is the market model?

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Anonymous

13y ago
Updated: 5/5/2023

The Libor market model is an interest rate model, where discretely compounded, market observable LIBOR rates are directly modeled with stochastic differential equations. This is an alternative to modeling the instantaneous short rate (as in the Vasicek and CIR models, for example) or the instantaneous forward rates (as in the Heath Jarrow Morton model).

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Reynold Berge

Lvl 10
2y ago

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