Before revision:  We study in some detail the pricing of caplets on Libor rates and Libor payments in arrears, and show that the convexity adjustment for the latter is also nonanalytic in the model volatility .
After revision:  We study in some detail the pricing of caplets on Libor rates and Libor payments in arrears, and show that the convexity adjustment for the model develops a non-trivial caplet skew. The phenomenon discussed here imposes thus an upper limit on the volatilities for which the model behaves as intended .