What does HJM stand for?

Heath-Jarrow-Morton (model)

This definition appears very rarely and is found in the following Acronym Finder categories:

Science, medicine, engineering, etc.

Other Resources:

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Samples in periodicals archive:

Jarrow, an originator of the Heath-Jarrow-Morton multi-factor term structure model.

United States: China Construction Bank Implements Risk Solution from ...

The "arbitrage" approach initiated by Ho and Lee (1986) and generalized by Heath-Jarrow-Morton (1992) (HJM), takes the initial term structure as given and, using the no-arbitrage condition, derives some restrictions on the drift term of the process of the forward rates under the risk-neutral probability measure Q.

Sensitivity of interest rate caps to the elasticity of forward rate ...

No-Arbitrage Models Of The Term Structure: Ho-Lee And Heath-Jarrow-Morton.

Out Now: Essays in Derivatives: Risk-Transfer Tools and Topics Made ...