Heath–Jarrow–Morton (HJM) Methodology

Damir Filipović ()
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Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 6 in Term-Structure Models, 2009, pp 93-103 from Springer

Abstract: Abstract As we have seen in Chap. 5, short-rate models are not always flexible enough to calibrating them to the observed initial term-structure. In the late eighties, Heath, Jarrow and Morton (henceforth HJM) (Econometrica 60:77–105, 1992) proposed a new framework for modeling the entire forward curve directly. This chapter provides the essentials of the HJM framework.

Keywords: Forward Rate; Forward Curve; LIBOR Market Model; Novikov Condition; Monotone Class Theorem (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-68015-4_6

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