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Heath-Jarrow-Morton

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Abstract

Up to this point we have studied interest models where the short-rate r is the only explanatory variable. The main advantages with such models are as follows.

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Röman, J.R.M. (2017). Heath-Jarrow-Morton. In: Analytical Finance: Volume II. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-52584-6_16

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  • DOI: https://doi.org/10.1007/978-3-319-52584-6_16

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  • Publisher Name: Palgrave Macmillan, Cham

  • Print ISBN: 978-3-319-52583-9

  • Online ISBN: 978-3-319-52584-6

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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