Salīdzināt metodes

	Hull-White Model	HJM Framework
Nozare	Kvantitatīvās finanses	Kvantitatīvās finanses
Saime	Regression model	Regression model
Izcelsmes gads	1990	1992
Autors	John C. Hull and Alan White	David Heath, Robert Jarrow, and Andrew Morton
Tips	Interest Rate Model	Interest Rate Framework
Pirmavots	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.
Citi nosaukumi	Extended Vasicek, Generalized Vasicek	Forward Rate Model, No-Arbitrage Drift Condition
Saistītās	4	4
Kopsavilkums	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.