Heath-Jarrow-Morton Model

Heath-Jarrow-Morton Model

A model that uses forward interest rates to determine prices for securities that are affected by changes in interest rates. The model is quite complex and used mainly by arbitrageurs. It may also be used in asset liability management.
References in periodicals archive ?
He covers the basic financial instruments; fundamental principles of financial modeling and arbitrage valuation of derivatives; the concept of conditional expectation, the discrete time binomial model and its application to stochastic finance; the most important results from the theory of martingales in the theory and application of stochastic finance; more advanced concepts such as the Randon-Nikodym derivative, equivalent martingale measure, non-arbitrage, and complete general markets; American derivative securities using the binomial model and general markets; fixed-income markets and the interest rate theory in discrete time; arbitrage pricing; credit risk; and the Heath-Jarrow-Morton model for the evolution of forward rate process.
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, School of Finance and Economics, University of Technology, Sydney.
Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, School of Finance and Economics, University of Technology, Sydney.