Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Rámec HJM× | Model Hull-White× | |
|---|---|---|
| Obor | Kvantitativní finance | Kvantitativní finance |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1992 | 1990 |
| Tvůrce≠ | David Heath, Robert Jarrow, and Andrew Morton | John C. Hull and Alan White |
| Typ≠ | Interest Rate Framework | Interest Rate Model |
| Původní zdroj≠ | Heath, D., Jarrow, R. A., & Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1), 77-105. DOI ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| Další názvy | Forward Rate Model, No-Arbitrage Drift Condition | Extended Vasicek, Generalized Vasicek |
| Příbuzné | 4 | 4 |
| Shrnutí≠ | The Heath-Jarrow-Morton (HJM) framework (1992) is a general no-arbitrage approach to modeling the entire term structure of forward rates. Unlike short-rate models, HJM works directly with forward rates f(t,T) and specifies their volatility; the drift is then determined by arbitrage constraints. This flexibility enables multi-factor modeling and accurate calibration to swaption matrices. | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. |
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