The Libor Market Model at Finer Time Steps: A Summary
Document ID: 2006-20 (previously 2006/020)
Published on: 1st November 2006
Author: Rutang Thanawalla
This note provides a summary of the implementation challenges surrounding the Libor model market (LMM) at finer time steps. The discussion is relevant for understanding the issue of explosive forward Libor rates in B&H's monthly implementation of the LMM.
