Compară metode

	Modelul Hull-White	Cadrul HJM
Domeniu	Finanțe cantitative	Finanțe cantitative
Familie	Regression model	Regression model
Anul apariției	1990	1992
Autorul original	John C. Hull and Alan White	David Heath, Robert Jarrow, and Andrew Morton
Tip	Interest Rate Model	Interest Rate Framework
Sursa seminală	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.
Denumiri alternative	Extended Vasicek, Generalized Vasicek	Forward Rate Model, No-Arbitrage Drift Condition
Înrudite	4	4
Rezumat	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.