Heath-Jarrow-Morton Model - HJM Model

Definition of 'Heath-Jarrow-Morton Model - HJM Model'


A model that applies forward rates to an existing term structure of interest rates to determine appropriate prices for securities that are sensitive to changes in interest rates.

Investopedia explains 'Heath-Jarrow-Morton Model - HJM Model'


The HJM model is very theoretical and is used at the most advanced levels of financial analysis. It is used mainly by arbitrageurs seeking arbitrage opportunities.



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