Heath-Jarrow-Morton framework

GPTKB entity

Statements (23)
Predicate Object
gptkbp:instanceOf gptkb:logic
interest rate model
gptkbp:alternativeName gptkb:HJM_framework
gptkbp:appliesTo derivative pricing
bond pricing
gptkbp:assumes arbitrage-free markets
gptkbp:category continuous-time finance
gptkbp:describes dynamics of forward rates
gptkbp:field quantitative finance
financial mathematics
gptkbp:form stochastic differential equations
gptkbp:generalizes short-rate models
https://www.w3.org/2000/01/rdf-schema#label Heath-Jarrow-Morton framework
gptkbp:introducedIn 1992
gptkbp:namedAfter gptkb:Andrew_Morton
gptkb:David_Heath
gptkb:Robert_Jarrow
gptkbp:publishedIn gptkb:Econometrica
gptkbp:relatedTo term structure of interest rates
gptkbp:type no-arbitrage model
gptkbp:usedFor modeling the evolution of interest rates
gptkbp:bfsParent gptkb:Black-Derman-Toy_model
gptkbp:bfsLayer 6