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HJM Framework/Evidence
Method evidence record

HJM Framework

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.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Heath-Jarrow-Morton Framework
Taxonomic method record · regression-model / quantitative-finance
  • 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 10.2307/2951677
  • Brigo, D., & Mercurio, F. (2006). Interest Rate Models: Theory and Practice (2nd ed.). Springer-Verlag. · URL
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Related methods

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Same method familyChange of Numerairemachine-suggested · Relational suggestion, not evidence.Same method familyHull-White Modelmachine-suggested · Relational suggestion, not evidence.Same method familyLibor Market Modelmachine-suggested · Relational suggestion, not evidence.Same method familyRisk-Neutral Valuationmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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