Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Marco HJM× | Modelo de Mercado LIBOR× | |
|---|---|---|
| Campo | Finanzas cuantitativas | Finanzas cuantitativas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1992 | 1997 |
| Autor original≠ | David Heath, Robert Jarrow, and Andrew Morton | Alan Brace, Dariusz Gatarek, and Marek Musiela |
| Tipo≠ | Interest Rate Framework | Interest Rate Model |
| Fuente seminal≠ | 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 ↗ | Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155. DOI ↗ |
| Alias | Forward Rate Model, No-Arbitrage Drift Condition | BGM Model, LMM |
| Relacionados | 4 | 4 |
| Resumen≠ | 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. |
| ScholarGateConjunto de datos ↗ |
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