方法对比

	无风险中性定价	Libor Market Model
领域	量化金融	量化金融
方法族	Regression model	Regression model
起源年份	1979	1997
提出者	John Harrison and David Kreps	Alan Brace, Dariusz Gatarek, and Marek Musiela
类型	Fundamental Principle	Interest Rate Model
开创性文献	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.
别名	Risk-Neutral Measure, Q-Measure	BGM Model, LMM
相关	4	4
摘要	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.