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 levels of financial analysis. It is used mainly by arbitrageurs seeking arbitrage opportunities.
Investment dictionary. Academic. 2012.
Look at other dictionaries:
Robert A. Jarrow — Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. He graduated magna cum laude from Duke University in 1974 with a major in mathematics,… … Wikipedia
term structure model — Also known as yield curve models. An assumption, or set of assumptions, used to describe future changes in interest rates over a range of maturities. The most simple term structure model is a parallel shift in rates, e.g. all rates rise by 1… … Financial and business terms
Zinsstrukturmodell — Mit Hilfe von Zinsstrukturmodellen möchte man die empirisch beobachtbaren Zusammenhänge zwischen Zinssätzen unterschiedlicher Laufzeiten durch möglichst wenige Zinsstrukturfaktoren erklären und die mögliche zeitliche Entwicklung von Zinssätzen… … Deutsch Wikipedia
Zinsstrukturmodelle — Mit Hilfe von Zinsstrukturmodellen möchte man die empirisch beobachtbaren Zusammenhänge zwischen Zinssätzen unterschiedlicher Laufzeiten durch möglichst wenige Zinsstrukturfaktoren erklären, welche idealerweise voneinander unabhängig sind. Diese… … Deutsch Wikipedia
List of Cornell University faculty — This list of Cornell University faculty includes notable current and former instructors and administrators of Cornell University, an Ivy League university located in Ithaca, New York. Cornell s faculty for the 2005–06 academic year included three … Wikipedia
List of finance topics — Topics in finance include:Fundamental financial concepts* Finance an overview ** Arbitrage ** Capital (economics) ** Capital asset pricing model ** Cash flow ** Cash flow matching ** Debt *** Default *** Consumer debt *** Debt consolidation ***… … Wikipedia
Mathematical finance — is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will… … Wikipedia
Yield curve — This article is about yield curves as used in finance. For the term s use in physics, see Yield curve (physics). Not to be confused with Yield curve spread – see Z spread. The US dollar yield curve as of February 9, 2005. The curve has a typical… … Wikipedia
Valuation of options — Further information: Option: Model implementation In finance, a price (premium) is paid or received for purchasing or selling options. This price can be split into two components. These are: Intrinsic Value Time Value Contents 1 Intrinsic Value 2 … Wikipedia
Power reverse dual currency note — A dual currency note (DC) pays coupons in the investors domestic currency with the notional in the issuers’ domestic currency. A reverse dual currency note (RDC) is the reverse. A power reverse dual currency note (PRDN) or power reverse dual… … Wikipedia