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

Takashi Yasuoka

    Research output: Contribution to journalArticle

    Abstract

    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.
    Original languageEnglish
    Pages (from-to)11
    Number of pages16
    JournalJournal of Math-for-Industry
    Volume5
    Issue number2013A-2
    Publication statusPublished - 2013

    Keywords

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

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

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