Sammenlign metoder

	HJM-rammeværket	Libor Market Model
Fagområde	Kvantitativ finans	Kvantitativ finans
Familie	Regression model	Regression model
Oprindelsesår	1992	1997
Ophavsperson	David Heath, Robert Jarrow, and Andrew Morton	Alan Brace, Dariusz Gatarek, and Marek Musiela
Type	Interest Rate Framework	Interest Rate Model
Oprindelig kilde	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.	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
Aliasser	Forward Rate Model, No-Arbitrage Drift Condition	BGM Model, LMM
Relaterede	4	4
Resumé	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 LIBOR Market Model (BGM), developed by Brace, Gatarek, and Musiela (1997), is a multi-factor interest rate model that directly models forward LIBOR rates as lognormal processes. Unlike short-rate models, LMM naturally prices caplets at the market level and is the industry standard for valuing caps, floors, and exotic interest rate derivatives.