@techreport{oai:shiga-u.repo.nii.ac.jp:00009961,
 author = {Kusuda, Koji},
 issue = {B-4},
 month = {May},
 note = {Technical Report, The LIBOR market (LM) model (Brace et al. [8], Miltersen et
al. [27], and Jamshidian [16]) is an interest rate version of the Black-Scholes
model of stock price. However, a statistical test (Kusuda [22]) rejected the
LM model and suggested that a jump process should be introduced into the
LM model. This paper presents a jump-diffusion LM model using a general
equilibrium security market model (Kusuda [21] [23] [24]) with jump-diffusion
information. Approximate general equilibrium pricing formulas for caplet and
swaption are derived. Also, a method of specification and estimation of the
jump-diffusion LM model is presented., CRR Working Paper, Series B, No. B-4, pp. 1-21},
 title = {A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives},
 year = {2005}
}