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LIBOR market model

Known as: Brace-Gatarek-Musiela model, Brace–Gatarek–Musiela model, BGM model 
The LIBOR market model, also known as the BGM Model (Brace Gatarek Musiela Model, in reference to the names of some of the inventors) is a financial… 
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Related topics

Related topics

4 relations
Black modelLattice model (finance)Peter JaeckelStochastic investment model

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2015
2015
Fault tolerance and diagnosability of burnt pancake networks under the comparison model
2009
2009
Efficient swaptions price in Hull-White one factor model
The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to… 
2006
2006
The LIBOR Market Model
Student Number : 0003819T - MSc dissertation - School of Computational and Applied Mathematics - Faculty of Science 
2006
2006
The Lévy Libor model with default risk
In this paper we present a model for the dynamic evolution of the term structure of default-free and defaultable interest rates… 
2005
2005
A Comparison of Markov–Functional and Market Models
The LIBOR Markov–functional model is an efficient arbitrage–free pricing model suitable for callable interest rate derivatives… 
2005
2005
The LIBOR model dynamics: Approximations, calibration and diagnostics
2004
2004
Diagnosis of Symmetric Graphs Under the BGM Model
2003
2003
A stochastic-volatility, displaced-diffusion extension of the LIBOR Market Model
We present an extension of the LIBOR market model which allows for stochastic instantaneous volatilities of the forward rates in… 
2003
2003
On the distributional distance between the Libor and the Swap market models
In this paper we are concerned with the distributional dierence of forward swap rates between the lognormal forward‐Libor model… 
Review
1991
Review
1991
Improved Diagnosability Algorithms
The concepts of the PMC and BGM self-diagnosing system models of F. P. Preparata et al. (1967) and F. Barsi et al. (1976… 
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