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What does HJM stand for?

HJM stands for Heath-Jarrow-Morton (model)

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We have 4 other meanings of HJM in our Acronym Attic

Samples in periodicals archive:

He covers the basic financial instruments; fundamental principles of financial modeling and arbitrage valuation of derivatives; the concept of conditional expectation, the discrete time binomial model and its application to stochastic finance; the most important results from the theory of martingales in the theory and application of stochastic finance; more advanced concepts such as the Randon-Nikodym derivative, equivalent martingale measure, non-arbitrage, and complete general markets; American derivative securities using the binomial model and general markets; fixed-income markets and the interest rate theory in discrete time; arbitrage pricing; credit risk; and the Heath-Jarrow-Morton model for the evolution of forward rate process.
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.