Investments glossary

Heath-Jarrow-Morton Model – HJM Model Definition

The Heath-Jarrow-Morton Model (HJM Model) is used to model forward interest rates. These rates are then modeled to an existing term structure of interest rates to determine appropriate prices for interest rate sensitive securities.

Click to rate this post!
[Total: 0 Average: 0]

Leave a Reply

Your email address will not be published. Required fields are marked *