विधियों की तुलना करें

	जोखिम-उदासीन मूल्यांकन	लिबोर मार्केट मॉडल
क्षेत्र	मात्रात्मक वित्त	मात्रात्मक वित्त
परिवार	Regression model	Regression model
उद्भव वर्ष	1979	1997
प्रवर्तक	John Harrison and David Kreps	Alan Brace, Dariusz Gatarek, and Marek Musiela
प्रकार	Fundamental Principle	Interest Rate Model
मौलिक स्रोत	Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
उपनाम	Risk-Neutral Measure, Q-Measure	BGM Model, LMM
संबंधित	4	4
सारांश	Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing.	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.