What claimed deficiencies of the HJM model are ameliorated by using the Libor Market Model (LMM)?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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What claimed deficiencies of the HJM model are ameliorated by using the Libor Market Model (LMM)?

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There are two primary improvements that are made in the LMM versus the HJM model ...View the full answer

Derivatives Principles And Practice

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