{
  "annotation_id": "5475828e-c7e5-444c-9234-886667f4545a",
  "date_created": "2026-03-02T18:00:57.283000Z",
  "date_modified": "2026-03-02T18:00:57.283000Z",
  "file_hash": "ca1b4f5f9af4b8373b1569ab947b0bdd5fe15017363ddba7d8e2c719fc66e24d",
  "private": false,
  "record": {
    "abstract": "The main result of this paper that a martingale evolution can be chosen for\nLibor such that all the Libor interest rates have a common market measure; the\ndrift is fixed such that each Libor has the martingale property. Libor is\ndescribed using a field theory model, and a common measure is seen to be emerge\nnaturally for such models. To elaborate how the martingale for the Libor\nbelongs to the general class of numeraire for the forward interest rates, two\nother numeraire\u0027s are considered, namely the money market measure that makes\nthe evolution of the zero coupon bonds a martingale, and the forward measure\nfor which the forward bond price is a martingale. The price of an interest rate\ncap is computed for all three numeraires, and is shown to be numeraire\ninvariant. Put-call parity is discussed in some detail and shown to emerge due\nto some non-trivial properties of the numeraires. Some properties of swaps, and\ntheir relation to caps and floors, are briefly discussed.",
    "arxiv_id": "physics/0503126",
    "authors": [
      "Belal E. Baaquie"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.PR"
    ],
    "title": "A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in   a Field Theory of Forward Interest Rates",
    "url": "https://arxiv.org/abs/physics/0503126"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "17856907-61ae-435a-8187-261da766a327",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}