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Heath–Jarrow–Morton (HJM) Methodology

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Listed:
  • Damir Filipović

    (University of Vienna, and Vienna University of Economics and Business)

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.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-540-68015-4_6
DOI: 10.1007/978-3-540-68015-4_6
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