Talk:Heath–Jarrow–Morton framework

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Relationship to other models[edit]

I think it would be good if this page could be extended to give the basic derivation of the HJM model and also show the relationship between the HJM models and other simpler models (such as HO and Lee, Vasicek models for the short rate)

I can write this up if there is interest - Charlesmartin14 04:53, 13 November 2006 (UTC)[reply]

Yes, there is interest.

Thanks

Citations[edit]

There are a couple of qualifications in the article (like it does not capture all of the complexities of an evolving term structure) - please add in-line citations, and elaborate if appropriate. Nshuks7 (talk) 11:52, 24 February 2010 (UTC)[reply]

The Martin Haugh link is dead. Nshuks7 (talk) 07:41, 28 April 2010 (UTC)[reply]

Infinite Dimensions[edit]

Why HJM would be considered as an model with infinite dimension? By choosing only a single randomness dW for f(t,T), isn't true that it is just an one dimensional case?Nick C. (talk) 14:56, 1 January 2014 (UTC)[reply]