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Heath–Jarrow–Morton (HJM) Methodology

  • Damir Filipović
Chapter
Part of the Springer Finance book series (FINANCE)

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 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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