The LIBOR market model is a financial model of interest rates. It is used for pricing interest rate derivatives. The quantities that are modeled are a set of forward rates (also called forward LIBORs), which have the advantage of being directly observable in the market, and whose volatilities are ...
The question is inspired by a short passage on the LMM in Mark Joshi's book. The LMM cannot be truly Markovian in the underlying Brownian motions due to the presence of state-dependent drifts. ...
Libor Market Model (LMM) models the interest rate market by simulating a set of simply compounded, non-overlapping Libor rates which reset and mature on predefined dates. How do I obtain from them a ...