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| Libor-Marktmodell× | Änderung des Numeraires× | |
|---|---|---|
| Fachgebiet | Quantitative Finanzwirtschaft | Quantitative Finanzwirtschaft |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1997 | 1995 |
| Urheber≠ | Alan Brace, Dariusz Gatarek, and Marek Musiela | Hélyette Geman, Nicole El Karoui, Jean-Charles Rochet |
| Typ≠ | Interest Rate Model | Measure Theory |
| Wegweisende Quelle≠ | Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155. DOI ↗ | Geman, H., El Karoui, N., & Rochet, J. C. (1995). Changes of numeraire, changes of probability measure and option pricing. Journal of Applied Probability, 32(2), 443-458. DOI ↗ |
| Aliasnamen | BGM Model, LMM | Numeraire Switching, Measure Change |
| Verwandt≠ | 4 | 3 |
| Zusammenfassung≠ | The LIBOR Market Model (BGM), developed by Brace, Gatarek, and Musiela (1997), is a multi-factor interest rate model that directly models forward LIBOR rates as lognormal processes. Unlike short-rate models, LMM naturally prices caplets at the market level and is the industry standard for valuing caps, floors, and exotic interest rate derivatives. | Change of numeraire is a mathematical technique for simplifying option pricing by changing the choice of discount factor (numeraire). By selecting a numeraire aligned with the payoff structure, complex problems become simple. The technique is essential for LIBOR market models and multi-currency derivatives. |
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