Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: LIBOR Interpolation and the HJM Model   We follow the lines of Musiela and Rutkowski and extend their interpolation
method to models with jumps. Together with an extension method for the tenor
structure of a given LIBOR market model (LMM) we get an infinite LIBOR
termstructure. Furthermore we present an argument why certain known exponential
moment conditions on the HJM Model are necessary. The approach uses finite
tenor LIBOR market models as approximation for the HJM model, then extends and
interpolates the tenor structure, relating it to the HJM structure.

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The categories of this paper are: nucl-th
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The categories of this paper are: funct-an
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The categories of this paper are: chao-dyn
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The categories of this paper are: alg-geom
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The categories of this paper are: q-alg
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The categories of this paper are: ao-sci
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The categories of this paper are: nlin
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The categories of this paper are: astro-ph
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The categories of this paper are: atom-ph
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The categories of this paper are: hep-lat
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The categories of this paper are: gr-qc
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The categories of this paper are: eess
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The categories of this paper are: quant-ph
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The categories of this paper are: solv-int
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The categories of this paper are: hep-ex
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The categories of this paper are: adap-org