Concepedia

Libor Market Model

The Libor Market Model is a term-level modeling framework within interest rate derivatives that belongs to the class of arbitrage-free term structure models and is distinguished by its direct modeling of forward Libor rates under a sequence of forward measures.

147

Publications

6K

Citations

165

Authors

121

Institutions

Publications per year

2017–2026

10

Variants

Bgm ModelBrace-gatarek-musiela ModelLmm

Parents

Publications

147

LIBOR and swap market models and measures

Farshid Jamshidian · Finance and Stochastics · 1997 · 786 citations · Full text

, , +11

Volatility skews and extensions of the Libor market model

Leif B. G. Andersen, Jesper Andreasen · Applied Mathematical Finance · 2000 · 257 citations

, , +16

Interest Rates and The Credit Crunch: New Formulas and Market Models

Fabio Mercurio · SSRN Electronic Journal · 2009 · 125 citations · Full text

, , +17

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Pierre Henry‐Labordère · SSRN Electronic Journal · 2005 · 124 citations · Full text

, , +16

Extended Libor market models with stochastic volatility

Leif B. G. Andersen, Rupert Brotherton-Ratcliffe · The Journal of Computational Finance · 2005 · 119 citations

, , +17

1–5 of 147

Authors

165

  1. MS
    Mark S. Joshi

    The University of Melbourne, Australia

    12 publications · 331 citations

    11

    h-index

  2. FM
    Fabio Mercurio

    Bloomberg (United States), United States

    9 publications · 419 citations

    9

    h-index

  3. LB
    Leif B. G. Andersen

    Bank of America, United States

    7 publications · 770 citations

    7

    h-index

  4. JS
    John Schoenmakers

    Weierstrass Institute for Applied Analysis and Stochastics, Germany

    6 publications · 194 citations

    6

    h-index

  5. AT
    Akihiko Takahashi

    The University of Tokyo, Japan

    6 publications · 191 citations

    6

    h-index

1–5 of 165

Institutions

121

  1. Bloomberg (United States)

    New York, United States

    8 h-index

    8 publications

    391 citations

  2. Weierstrass Institute for Applied Analysis and Stochastics

    Berlin, Germany

    6 h-index

    9 publications

    235 citations

  3. The University of Melbourne

    Melbourne, Australia

    6 h-index

    8 publications

    127 citations

  4. Bank of America

    Charlotte, United States

    4 h-index

    4 publications

    303 citations

  5. Delft University of Technology

    Delft, The Netherlands

    4 h-index

    5 publications

    182 citations

  6. Royal Bank of Scotland (United Kingdom)

    Edinburgh, United Kingdom

    4 h-index

    8 publications

    362 citations

  7. University of Technology Sydney

    Sydney, Australia

    4 h-index

    5 publications

    77 citations

  8. Columbia University

    New York, United States

    4 h-index

    7 publications

    363 citations

1–8 of 121

Venues

  1. SSRN Electronic Journal

    Repository · 47 publications · 1.5K citations

    21

    h-index

  2. The Journal of Computational Finance

    11 publications · 492 citations

    11

    h-index

  3. Quantitative Finance

    11 publications · 303 citations

    11

    h-index

  4. International Journal of Theoretical and Applied Finance

    IJTAF · 11 publications · 321 citations

    10

    h-index

  5. Applied Mathematical Finance

    5 publications · 449 citations

    5

    h-index

1–5