Salīdzināt metodes

	HJM Framework	Novērtēšana pret risku neitrālā pasaulē
Nozare	Kvantitatīvās finanses	Kvantitatīvās finanses
Saime	Regression model	Regression model
Izcelsmes gads	1992	1979
Autors	David Heath, Robert Jarrow, and Andrew Morton	John Harrison and David Kreps
Tips	Interest Rate Framework	Fundamental Principle
Pirmavots	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.	Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Citi nosaukumi	Forward Rate Model, No-Arbitrage Drift Condition	Risk-Neutral Measure, Q-Measure
Saistītās	4	4
Kopsavilkums	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.