The Libor market model, also known as the BGM Model, is a term structure model of interest rates. It is widely used for pricing interest rate derivatives, especially Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with...

This paper considers an intertemporal portfolio choice model with two assets, one risky and one riskless. Transactions costs are incurred when an agent either purchases or sells shares of risky assets. The agent is assumed to maximize the limiting long run expected growth rate of his or her...