Literature Review

Ingo Beyna
Additional contact information
Ingo Beyna: Centre for Practical Quantitative Finance

Chapter Chapter 1 in Interest Rate Derivatives, 2013, pp 1-1 from Springer

Abstract: Abstract The framework of Heath-Jarrow-Morton (HJM) is a general setting to model the evolution of the forward rate curve and was first published by Heath, Jarrow, and Morton(1992). The framework model can be used to price and hedge interest rate derivatives as described by Heath, Jarrow, Morton, and Spindel(1992).

Keywords: General Setting; Framework Model; Market Model; Major Difficulty; Text Book (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-34925-6_1

Ordering information: This item can be ordered from
http://www.springer.com/9783642349256

DOI: 10.1007/978-3-642-34925-6_1

Access Statistics for this chapter

More chapters in Lecture Notes in Economics and Mathematical Systems from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().