Heath-Jarrow-Morton Framework: Interest Rate Models

Description

This lecture covers the Heath-Jarrow-Morton (HJM) framework for interest rate models, which specifies forward rate dynamics directly. It explains the ingredients of the HJM framework, the forward rate specification, bond price dynamics, and the HJM drift condition. The lecture also discusses an example with the Vasiček short rate model.

In MOOC

This course gives you an easy introduction to interest rates and related contracts. These include the LIBOR, bonds, forward rate agreements, swaps, interest rate futures, caps, floors, and swaptions.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_2th6nkpw

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