방법 비교

	리보 시장 모형	HJM 프레임워크
분야	금융공학	금융공학
계열	Regression model	Regression model
기원 연도	1997	1992
창시자	Alan Brace, Dariusz Gatarek, and Marek Musiela	David Heath, Robert Jarrow, and Andrew Morton
유형	Interest Rate Model	Interest Rate Framework
원전	Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.	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.
별칭	BGM Model, LMM	Forward Rate Model, No-Arbitrage Drift Condition
관련	4	4
요약	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.	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.