Concepedia

Heath-jarrow-morton Framework

The Heath-Jarrow-Morton Framework is a mathematical framework in interest rate modeling that describes the evolution of instantaneous forward interest rates under no-arbitrage conditions, distinguished by its explicit modeling of the entire forward rate curve dynamics through stochastic differential equations driven by Brownian motion.

97

Publications

6.3K

Citations

149

Authors

112

Institutions

Publications per year

2017–2026

7

Variants

Heath-jarrow-morton ModelHjm FrameworkHjm Model

Parents

Publications

97

Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates

Kristian R. Miltersen, Klaus Sandmann, Dieter Sondermann · The Journal of Finance · 1997 · 586 citations

, , +17

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

David Heath, Robert A. Jarrow, A. J. Morton · Journal of Financial and Quantitative Analysis · 1990 · 349 citations

, , +17

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin‐Dufresne, Robert S. Goldstein · The Journal of Finance · 2002 · 331 citations · Full text

, , +17

Term Structure Models Driven by General Lévy Processes

Ernst Eberlein, Sebastian Raible · Mathematical Finance · 1999 · 281 citations

, , +17

A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON

Alan Brace, Marek Musiela · Mathematical Finance · 1994 · 254 citations

, , +14

1–5 of 97

Authors

149

  1. JT
    Josef Teichmann

    ETH Zurich, Switzerland

    5 publications · 169 citations

    5

    h-index

  2. KR
    Kristian R. Miltersen

    Copenhagen Business School, Denmark

    4 publications · 697 citations

    4

    h-index

  3. EE
    Ernst Eberlein

    University of Freiburg, Germany

    3 publications · 330 citations

    3

    h-index

  4. PR
    Peter Ritchken

    Case Western Reserve University, United States

    3 publications · 133 citations

    3

    h-index

  5. CC
    Carl Chiarella

    University of Technology Sydney, Australia

    3 publications · 180 citations

    3

    h-index

1–5 of 149

Institutions

112

  1. ETH Zurich

    Zurich, Switzerland

    6 h-index

    8 publications

    500 citations

  2. University of Freiburg

    Freiburg im Breisgau, Germany

    6 h-index

    12 publications

    756 citations

  3. UNSW Sydney

    Sydney, Australia

    4 h-index

    4 publications

    440 citations

  4. Stockholm School of Economics

    Stockholm, Sweden

    3 h-index

    3 publications

    250 citations

  5. Polish Academy of Sciences

    Warsaw, Poland

    3 h-index

    3 publications

    124 citations

  6. University of Technology Sydney

    Sydney, Australia

    3 h-index

    5 publications

    337 citations

  7. Banco Santander (Spain)

    Santander, Spain

    2 h-index

    2 publications

    84 citations

  8. Cornell University

    Ithaca, United States

    2 h-index

    3 publications

    186 citations

1–8 of 112

Venues

  1. Mathematical Finance

    9 publications · 1.1K citations

    9

    h-index

  2. SSRN Electronic Journal

    Repository · 9 publications · 349 citations

    9

    h-index

  3. Journal of Financial and Quantitative Analysis

    JFQA · 6 publications · 850 citations

    6

    h-index

  4. The Journal of Finance

    5 publications · 1.2K citations

    5

    h-index

  5. Insurance Mathematics and Economics

    5 publications · 143 citations

    5

    h-index

1–5