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2014•Wiley StatsRef: Statistics Reference OnlineRequires access

Market Models

Antoon Pelsser

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Abstract

Abstract Interest rate modelling is one of the crucial ingredients in the calculation of the market value of insurance products. The standard case is the LIBOR Market Model where all interest rates have log‐normal distributions. We deal with LIBOR rates and options on LIBOR rates (caplets and floorlets) first, then with swap rates and options on swap rates (swaptions).

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Abstract Interest rate modelling is one of the crucial ingredients in the calculation of the market value of insurance products. The standard case is the LIBOR Market Model where all interest rates have log‐normal distributions. We deal with LIBOR rates and options on LIBOR rates (caplets and floorlets) first, then with swap rates and options on swap rates (swaptions).

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Available abstract

Abstract Interest rate modelling is one of the crucial ingredients in the calculation of the market value of insurance products. The standard case is the LIBOR Market Model where all interest rates have log‐normal distributions. We deal with LIBOR rates and options on LIBOR rates (caplets and floorlets) first, then with swap rates and options on swap rates (swaptions).

Key concepts: Libor, LIBOR market model, Interest rate swap, Swap (finance), Interest rate derivative, Interest rate, Econometrics, Economics

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