Comparer des méthodes

	Cadre HJM	Modèle de Hull-White
Domaine	Finance quantitative	Finance quantitative
Famille	Regression model	Regression model
Année d'origine	1992	1990
Auteur d'origine	David Heath, Robert Jarrow, and Andrew Morton	John C. Hull and Alan White
Type	Interest Rate Framework	Interest Rate Model
Source fondatrice	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.	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.
Alias	Forward Rate Model, No-Arbitrage Drift Condition	Extended Vasicek, Generalized Vasicek
Apparentées	4	4
Résumé	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.