Heath–Jarrow–Morton framework
id:
heath-jarrow-morton-framework-278-16548345
title:
Heath–Jarrow–Morton framework
text:
The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular. When the volatility and drift of the instantaneous forward rate are assumed to be deterministic, this is known as the Gaussian Heath–Jarrow–Morton (HJM) model of forward rates. For direct modeling of simple forward rates the Brace–Gatarek–Musiela model represents an example. The HJM framework originates from the work of David Heath, Robe
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Heath%E2%80%93Jarrow%E2%80%93Morton_framework
date created:
date modified:
2024-01-15T11:44:45Z
main entity:
{"identifier":"Q1563747","url":"https://www.wikidata.org/entity/Q1563747"}
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13
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