BROWSE

Heath-Jarrow-Morton Model (HJM Model)

What is 'Heath-Jarrow-Morton Model - HJM Model'

A model that applies forward rates to an existing term structure of interest rates to determine appropriate prices for securities that are sensitive to changes in interest rates. Next Up Model Risk Multistage Dividend Discount Model Interest Sensitive Stock Hull–White Model

Explaining 'Heath-Jarrow-Morton Model - HJM Model'

The HJM model is very theoretical and is used at the most advanced levels of financial analysis. It is used mainly by arbitrageurs seeking arbitrage opportunities.

Further Reading


Transformation of Heath? Jarrow? Morton models to Markovian systems
www.tandfonline.com [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Testing the Heath-Jarrow-Morton/Ho-Lee model of interest rate contingent claims pricingTesting the Heath-Jarrow-Morton/Ho-Lee model of interest rate contingent claims pricing
www.jstor.org [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Single factor Heath-Jarrow-Morton term structure models based on Markov spot interest rate dynamicsSingle factor Heath-Jarrow-Morton term structure models based on Markov spot interest rate dynamics
www.jstor.org [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

A direct discrete-time approach to Poisson–Gaussian bond option pricing in the Heath–Jarrow–Morton modelA direct discrete-time approach to Poisson–Gaussian bond option pricing in the Heath–Jarrow–Morton model
www.sciencedirect.com [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Empirical tests of two state-variable Heath-Jarrow-Morton modelsEmpirical tests of two state-variable Heath-Jarrow-Morton models
www.jstor.org [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Modeling the volatility of the Heath–Jarrow–Morton model: a multifactor GARCH analysisModeling the volatility of the Heath–Jarrow–Morton model: a multifactor GARCH analysis
www.sciencedirect.com [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton ModelPricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model
onlinelibrary.wiley.com [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Markov representation of the Heath-Jarrow-Morton modelMarkov representation of the Heath-Jarrow-Morton model
papers.ssrn.com [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

Pricing rate of return guarantees in a Heath–Jarrow–Morton frameworkPricing rate of return guarantees in a Heath–Jarrow–Morton framework
www.sciencedirect.com [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …

A Markovian framework in multi-factor Heath-Jarrow-Morton modelsA Markovian framework in multi-factor Heath-Jarrow-Morton models
www.jstor.org [PDF]
… has its origin in Ho and Lee (1986) but was most clearly articulated in Heath– Jarrow–Morton (HJM) (1992a). HJM (1992b) describe how their model can be used to price and hedge the entire interest … form of the volatility function to be used in the arbitrage free class of models …


Leave a Reply

Your email address will not be published. Required fields are marked *