About: Heath–Jarrow–Morton framework

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The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves 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.

Attributes	Values
rdf:type	software
rdfs:label	Heath–Jarrow–Morton framework (en)
rdfs:comment	The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves 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. (en)
sameAs	Heath–Jarrow–Morton framework
dbp:wikiPageUsesTemplate	dbt:Doi dbt:ISBN dbt:Reflist dbt:Rp dbt:Bond_market dbt:Stochastic_processes
Subject	Financial models Fixed income analysis Heath–Jarrow–Morton framework Mathematical finance
gold:hypernym	Framework
prov:wasDerivedFrom	http://en.wikipedia.org/wiki/Heath–Jarrow–Morton_framework?oldid=1055352322&ns=0
Wikipage page ID	2876834 (xsd:integer)
page length (characters) of wiki page	10180 (xsd:nonNegativeInteger)
Wikipage revision ID	1055352322 (xsd:integer)
Link from a Wikipage to another Wikipage	Forward curve Forward rate Robert A. Jarrow Wyższa Szkoła Biznesu – National-Louis University Adapted process Black–Derman–Toy model University of Pennsylvania University of Technology Sydney Wiener process Journal of Financial and Quantitative Analysis Financial models Fixed income analysis Heath–Jarrow–Morton framework Mathematical finance David Heath (probabilist) Leibniz integral rule Chen model Cheyette model Ho–Lee model Hull–White model Cornell University E. J. Ourso College of Business Econometrica New York University Fubini's theorem Determinism Interest rate LIBOR market model Paul Wilmott Louisiana State University Itô's lemma The Journal of Fixed Income Kamakura Corporation Markov property Rational pricing Short-rate model dbr:Andrew_Morton_(economist) dbr:Review_of_Futures_Markets
has abstract	The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves 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 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". (en)
foaf:isPrimaryTopicOf	http://en.wikipedia.org/wiki/Heath–Jarrow–Morton_framework
is rdfs:seeAlso of	Option (finance)
is Wikipage redirect of	Gaussian Heath-Jarrow-Morton Model Gaussian Heath-Jarrow-Morton model HJM model Heath jarrow morton Heath-Jarrow-Morton framework Gaussian HJM Model Gaussian HJM model Gaussian Heath–Jarrow–Morton Model Gaussian Heath–Jarrow–Morton model
is Link from a Wikipage to another Wikipage of	Asset pricing Bond valuation David Heath (probabilist) Cheyette model Damir Filipović List of Cornell University faculty List of Kalamazoo College people List of quantitative analysts Elkhart Central High School Financial economics Financial modeling Gaussian Heath-Jarrow-Morton Model Gaussian Heath-Jarrow-Morton model HJM model Heath jarrow morton HJM Heath-Jarrow-Morton framework Interest rate derivative Interest rate risk Interest sensitivity gap LIBOR market model Kamakura Corporation Lattice model (finance) Mathematical finance Gaussian HJM Model Gaussian HJM model Gaussian Heath–Jarrow–Morton Model Gaussian Heath–Jarrow–Morton model
is known for of	Robert A. Jarrow
is foaf:primaryTopic of	http://en.wikipedia.org/wiki/Heath–Jarrow–Morton_framework

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