Comparer des méthodes

	Cadre HJM	Modèle de marché LIBOR
Domaine	Finance quantitative	Finance quantitative
Famille	Regression model	Regression model
Année d'origine	1992	1997
Auteur d'origine	David Heath, Robert Jarrow, and Andrew Morton	Alan Brace, Dariusz Gatarek, and Marek Musiela
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.	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
Alias	Forward Rate Model, No-Arbitrage Drift Condition	BGM Model, LMM
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 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.