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. Investopedia Says:
The HJM model is very theoretical and is used at the most advanced levels of financial analysis. It is used mainly by arbitrageurs seeking arbitrage opportunities. Related Terms:
Arbitrage
Binomial Option Pricing Model
Black Box Model
Black Scholes Model
Financial Modeling
Jarrow-Turnbull Model
Term Structure of Interest Rates |