### Abstract

Original language | English |
---|---|

Pages (from-to) | 11 |

Number of pages | 16 |

Journal | Journal of Math-for-Industry |

Volume | 5 |

Issue number | 2013A-2 |

Publication status | Published - 2013 |

### Fingerprint

### Keywords

- term structure model
- LIBOR market model
- BGM model
- metric space

### ASJC Scopus subject areas

- Economics, Econometrics and Finance(all)

### Cite this

*Journal of Math-for-Industry*,

*5*(2013A-2), 11.

**L2-theoretical study of the relation between the LIBOR market model and the HJM model.** / Yasuoka, Takashi.

Research output: Contribution to journal › Article

*Journal of Math-for-Industry*, vol. 5, no. 2013A-2, pp. 11.

}

TY - JOUR

T1 - L2-theoretical study of the relation between the LIBOR market model and the HJM model

AU - Yasuoka, Takashi

PY - 2013

Y1 - 2013

N2 - In previous works, the author introduced metric spaces of term structure models to study the relation between the LIBOR market model and the HJM model. However that framework is not comprehensive, nor does it admit an extendable structure. This paper introduces a new metric space to better develop the perspective argument. A metric space is naturally constructed on the set of bond price processes such that the space allows many types of term structure models. This metric presents a general view on the relation between the LIBOR market model and the HJM model. Consequently, the LIBOR market model is placed at the boundary of the HJM model set.

AB - In previous works, the author introduced metric spaces of term structure models to study the relation between the LIBOR market model and the HJM model. However that framework is not comprehensive, nor does it admit an extendable structure. This paper introduces a new metric space to better develop the perspective argument. A metric space is naturally constructed on the set of bond price processes such that the space allows many types of term structure models. This metric presents a general view on the relation between the LIBOR market model and the HJM model. Consequently, the LIBOR market model is placed at the boundary of the HJM model set.

KW - term structure model

KW - LIBOR market model

KW - BGM model

KW - metric space

M3 - Article

VL - 5

SP - 11

JO - Journal of Math-for-Industry

JF - Journal of Math-for-Industry

IS - 2013A-2

ER -