Moment explosion in the LIBOR market model

Stefan Gerhold

In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.

Mots clés: 91G30; LIBOR market model; Moment explosion; Distribution tails

Domaines: Bio-informatique [q-bio.QM]; Bio-Informatique, Biologie Systémique [q-bio.QM]

Stefan Gerhold. Moment explosion in the LIBOR market model. Statistics and Probability Letters, 2011, 81 (5), pp.560. ⟨10.1016/j.spl.2011.01.009⟩. ⟨hal-00725103⟩