With the transition from LIBOR to SOFR, will the LIBOR Market Model be replaced by a new model? Perhaps this has already happened. If yes, what is this new model? If not, will the LIBOR Market Model "live on" after the transition to SOFR?


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    $\begingroup$ This paper explains that LMM will live on and be perfectly fine for the new RFR rates also. Ps: the authors of the paper were nominated for "quant of the year" award for that paper, it's a really good paper to read. $\endgroup$ Jan 17 at 16:10


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