Comparer des méthodes

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