Methoden vergelijken

	HJM-raamwerk	Hull-White Model
Vakgebied	Kwantitatieve financiering	Kwantitatieve financiering
Familie	Regression model	Regression model
Jaar van ontstaan	1992	1990
Grondlegger	David Heath, Robert Jarrow, and Andrew Morton	John C. Hull and Alan White
Type	Interest Rate Framework	Interest Rate Model
Oorspronkelijke bron	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.	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.
Aliassen	Forward Rate Model, No-Arbitrage Drift Condition	Extended Vasicek, Generalized Vasicek
Verwant	4	4
Samenvatting	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.	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.