Qu'est-ce que « LIBOR market model » ?

The LIBOR market model (or lognormal forward market model) makes each forward rate lognormal with a deterministic volatility under the forward measure of its payment date: $dF_k(t) = \sigma_k(t)F_k(t)\,dW^{T_{k+1}}_k(t)$, with $d\langle W_i,W_j\rangle = \rho_{ij}\,dt$. Its name comes from the interbank index it was built for; the dynamics serve any tenor structure of forward-looking rates, and chapter 10 extends them to overnight-rate compounding.