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.
What does HJM stand for?
HJM stands for Heath-Jarrow-Morton (model)
This definition appears frequently and is found in the following Acronym Finder categories:
- Science, medicine, engineering, etc.
See other definitions of HJM
We have 4 other meanings of HJM in our Acronym Attic
- Hærens Jeger Kommando (Norwegian Special Forces)
- Helsingin Jalkapallo Klubi (soccer, Finland)
- Herz-Jesu-Kirche (German: Sacred Heart Church)
- Hi Jump Kick (gaming)
- Hong Kong - Japan - Korea , Submarine Cable
- Hardcore Jeet Kune Do
- Hans Jorgen Klarskov Mortenson (educational software website)
- Happy Jack Library (Port Sulphur, LA)
- Hockey Japan League
- Harvard Journal of Law and Public Policy (Harvard Society of Law and Public Policy, Inc; Harvard Law School; Cambridge, MA)
- Herzog-Jackson Motorsports (National Association for Stock Car Auto Racing team)
- Hindu Jagran Manch (Indian militant group)
- Hospital Juliano Moreira (Brazil)
- House Joint Memorial (various locations)
- Houston Journal of Mathematics (Texas)
- Henrietta Johnson Medical Center (Wilmington, DE)
- Hypotrichosis with Juvenile Macular Dystrophy
- Henry James Memorial School (Connecticut)
- Hoi Jeon Moo Sool (Korean martial art)
- Historical Justice Now (human rights organization; Los Angeles, CA)
Samples in periodicals archive:
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.