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- Heath–Jarrow–Morton_framework abstract "The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curve – instantaneous forward rate curve in particular (as opposed to simple forward rates). 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, Robert A. Jarrow, and Andrew Morton in the late 1980s, especially Bond pricing and the term structure of interest rates: a new methodology (1987) – working paper, Cornell University, and Bond pricing and the term structure of interest rates: a new methodology (1989) – working paper (revised ed.), Cornell University. It has its critics, however, with Paul Wilmott describing it as "...actually just a big rug for [mistakes] to be swept under".".
- Heath–Jarrow–Morton_framework wikiPageID "2876834".
- Heath–Jarrow–Morton_framework wikiPageRevisionID "600884480".
- Heath–Jarrow–Morton_framework subject Category:Fixed_income_analysis.
- Heath–Jarrow–Morton_framework subject Category:Mathematical_finance.
- Heath–Jarrow–Morton_framework comment "The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curve – instantaneous forward rate curve in particular (as opposed to simple forward rates). 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 .".
- Heath–Jarrow–Morton_framework label "HJM-Modell".
- Heath–Jarrow–Morton_framework label "Heath–Jarrow–Morton framework".
- Heath–Jarrow–Morton_framework sameAs Heath%E2%80%93Jarrow%E2%80%93Morton_framework.
- Heath–Jarrow–Morton_framework sameAs HJM-Modell.
- Heath–Jarrow–Morton_framework sameAs Q1563747.
- Heath–Jarrow–Morton_framework sameAs Q1563747.
- Heath–Jarrow–Morton_framework wasDerivedFrom Heath–Jarrow–Morton_framework?oldid=600884480.