Heath–Jarrow–Morton framework and Outline of finance

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Difference between Heath–Jarrow–Morton framework and Outline of finance

Heath–Jarrow–Morton framework vs. Outline of finance

The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curve – instantaneous forward rate curve in particular (as opposed to simple forward rates). The following outline is provided as an overview of and topical guide to finance: Finance – addresses the ways in which individuals and organizations raise and allocate monetary resources over time, taking into account the risks entailed in their projects.

Black–Derman–Toy model

In mathematical finance, the Black–Derman–Toy model (BDT) is a popular short rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see Lattice model (finance) #Interest rate derivatives.

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Chen model

In finance, the Chen model is a mathematical model describing the evolution of interest rates.

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Forward rate

The forward rate is the future yield on a bond.

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Ho–Lee model

In financial mathematics, the Ho–Lee model is a short rate model widely used in the pricing of bond options, swaptions and other interest rate derivatives, and in modeling future interest rates.

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Hull–White model

In financial mathematics, the Hull–White model is a model of future interest rates.

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Interest rate

An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited or borrowed (called the principal sum).

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Itô's lemma

In mathematics, Itô's lemma is an identity used in Itô calculus to find the differential of a time-dependent function of a stochastic process.

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LIBOR market model

The LIBOR market model, also known as the BGM Model (Brace Gatarek Musiela Model, in reference to the names of some of the inventors) is a financial model of interest rates.

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Rational pricing

Rational pricing is the assumption in financial economics that asset prices (and hence asset pricing models) will reflect the arbitrage-free price of the asset as any deviation from this price will be "arbitraged away".

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Short-rate model

A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,.

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Wiener process

In mathematics, the Wiener process is a continuous-time stochastic process named in honor of Norbert Wiener.

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