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| Cadre HJM× | Valorisation neutre au risque× | |
|---|---|---|
| Domaine | Finance quantitative | Finance quantitative |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1992 | 1979 |
| Auteur d'origine≠ | David Heath, Robert Jarrow, and Andrew Morton | John Harrison and David Kreps |
| Type≠ | Interest Rate Framework | Fundamental Principle |
| 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. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Alias | Forward Rate Model, No-Arbitrage Drift Condition | Risk-Neutral Measure, Q-Measure |
| 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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