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