Statements (28)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
interest rate model |
| gptkbp:assumes |
no arbitrage
|
| gptkbp:author |
gptkb:Andrew_Morton
gptkb:David_Heath gptkb:Robert_Jarrow |
| gptkbp:category |
mathematical finance
stochastic processes finance theory |
| gptkbp:describes |
evolution of interest rates
|
| gptkbp:field |
quantitative finance
financial mathematics |
| gptkbp:form |
stochastic differential equations
|
| gptkbp:fullName |
gptkb:Heath-Jarrow-Morton_framework
|
| gptkbp:generalizes |
gptkb:Hull-White_model
gptkb:Vasicek_model |
| https://www.w3.org/2000/01/rdf-schema#label |
HJM framework
|
| gptkbp:introducedIn |
1992
|
| gptkbp:namedAfter |
gptkb:mountain
gptkb:Morton gptkb:Jarrow |
| gptkbp:publishedIn |
gptkb:Econometrica
|
| gptkbp:relatedTo |
short-rate models
LIBOR market model |
| gptkbp:usedFor |
pricing interest rate derivatives
modeling forward rates |
| gptkbp:bfsParent |
gptkb:Heath-Jarrow-Morton_framework
|
| gptkbp:bfsLayer |
7
|