Heath–Jarrow–Morton (HJM) Methodology

  • Damir FilipovićEmail author
Part of the Springer Finance book series (FINANCE)


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.


Forward Rate Forward Curve LIBOR Market Model Novikov Condition Monotone Class Theorem 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.University of Vienna, and Vienna University of Economics and BusinessViennaAustria

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