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Heath‐Jarrow‐Morton Framework: Immersion of Short‐Rate Models and LIBOR Market Model

Christian Fries

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Abstract

This chapter contains sections titled: Short-Rate Models in the HJM Framework LIBOR Market Model in the HJM Framework

About this research paper

What this paper is about

This chapter contains sections titled: Short-Rate Models in the HJM Framework LIBOR Market Model in the HJM Framework

Why it matters

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Key contribution

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Method / approach

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Available abstract

This chapter contains sections titled: Short-Rate Models in the HJM Framework LIBOR Market Model in the HJM Framework

Key concepts: Heath–Jarrow–Morton framework, Libor, LIBOR market model, Forward rate, Econometrics, Financial economics, Economics, Mathematical economics

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Heath‐Jarrow‐Morton Framework: Immersion of Short‐Rate Models and LIBOR Market Model — Research Paper | ScholarLens

Heath‐Jarrow‐Morton Framework: Immersion of Short‐Rate Models and LIBOR Market Model

About this research paper

What this paper is about

Why it matters

Key contribution

Method / approach

Main findings

Limitations

Applications

Available abstract

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