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]
- Testing the Heath-Jarrow-Morton/Ho-Lee model of interest rate contingent claims pricing – www.jstor.org [PDF]
- Single factor Heath-Jarrow-Morton term structure models based on Markov spot interest rate dynamics – www.jstor.org [PDF]
- A direct discrete-time approach to Poisson–Gaussian bond option pricing in the Heath–Jarrow–Morton model – www.sciencedirect.com [PDF]
- Empirical tests of two state-variable Heath-Jarrow-Morton models – www.jstor.org [PDF]
- Modeling the volatility of the Heath–Jarrow–Morton model: a multifactor GARCH analysis – www.sciencedirect.com [PDF]
- Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model – onlinelibrary.wiley.com [PDF]
- Markov representation of the Heath-Jarrow-Morton model – papers.ssrn.com [PDF]
- Pricing rate of return guarantees in a Heath–Jarrow–Morton framework – www.sciencedirect.com [PDF]
- A Markovian framework in multi-factor Heath-Jarrow-Morton models – www.jstor.org [PDF]