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

Takashi Yasuoka

    研究成果: Article査読

    抄録

    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.
    本文言語English
    ページ(範囲)11
    ページ数16
    ジャーナルJournal of Math-for-Industry
    5
    2013A-2
    出版ステータスPublished - 2013

    ASJC Scopus subject areas

    • 経済学、計量経済学および金融学(全般)

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