Heath-Jarrow-Morton Model - HJM Model

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Dictionary Says

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 Says

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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