LIBORマーケットモデル
d L j ( t ) = { L j ( t ) σ j ( t ) d W Q T p ( t ) − L j ( t ) ∑ k = j p − 1 δ L k ( t ) 1 + δ L k ( t ) σ j ( t ) σ k ( t ) ρ j k d t j < p L j ( t ) σ j ( t ) d W Q T p ( t ) j = p L j ( t ) σ j ( t ) d W Q T p ( t ) + L j ( t ) ∑ k = p j − 1 δ L k ( t ) 1 + δ L k ( t ) σ j ( t ) σ k ( t ) ρ j k d t j > p {\displaystyle dL_{j}(t)={\begin{cases}L_{j}(t){\sigma }_{j}(t)dW^{Q_{T_{p}}}(t)-L_{j}(t)\sum \limits _{k=j}^{p-1}{\frac {\delta L_{k}(t)}{1+\delta L_{k}(t)}}{\sigma }_{j}(t){\sigma }_{k}(t){\rho }_{jk}dt\qquad j<p\\L_{j}(t){\sigma }_{j}(t)dW^{Q_{T_{p}}}(t)\qquad \qquad \qquad \qquad \qquad \qquad \qquad \qquad \quad \quad j=p\\L_{j}(t){\sigma }_{j}(t)dW^{Q_{T_{p}}}(t)+L_{j}(t)\sum \limits _{k=p}^{j-1}{\frac {\delta L_{k}(t)}{1+\delta L_{k}(t)}}{\sigma }_{j}(t){\sigma }_{k}(t){\rho }_{jk}dt\quad \qquad j>p\\\end{cases}}}
である。