What is the hjm libor model

Reference no: EM131458301

Question: a. In the HJM libor model, is it a simple interest rate or a continuously compounded interest rate that follows a lognormal distribution?

b. Why is this difference important (hint: relates to Black's formula)?

c. In the HJM libor model, is the volatility of the simple forward rate of interest a constant, or does it depend on time?

Reference no: EM131458301

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