- HJM
- abbr.Houston Journal of Mathematics
Dictionary of abbreviations. 2012.
HJM
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HJM-Modell — Der Begriff HJM Modell bezeichnet das Zinsstrukturmodell von Heath, Jarrow und Morton, ein Forward rate und arbitragefreies Zinsstrukturmodell. Es wurde in der zeitdiskreten Form im Jahr 1990 vorgestellt. Nach etwa zwei Jahren, in 1992, erschien… … Deutsch Wikipedia
Heath-Jarrow-Morton Model - HJM Model — A model that applies forward rates to an existing term structure of interest rates to determine appropriate prices for securities that are sensitive to changes in interest rates. The HJM model is very theoretical and is used at the most advanced… … Investment dictionary
Heath-Jarrow-Morton framework — The Heath Jarrow Morton framework is a general framework to model the evolution of interest rates (forward rates in particular) for risk management in general and asset liability management in particular. The HJM framework originates from the… … Wikipedia
Short rate model — In the context of interest rate derivatives, a short rate model is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate.The short rateThe short rate, usually written r t… … Wikipedia
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