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
|