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LIBOR market model

 Home Mathematics Fields of mathematics Applied mathematics Mathematical finance Heath–Jarrow–Morton framework
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The LIBOR market model (LMM), also known as the Brace-Gatarek-Musiela (BGM) model, is a framework used in finance for modeling the evolution of interest rates in the context of the London Interbank Offered Rate (LIBOR). It is particularly useful for pricing and managing the risk of interest rate derivatives, such as interest rate swaps and caps/floors.

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  1. Heath–Jarrow–Morton framework
  2. Mathematical finance
  3. Applied mathematics
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