HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
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HJM：固定收益、信贷和股票市场动态模型的统一方法
DOI：
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发表时间：
2007
期刊：
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通讯作者：
R. Carmona
中科院分区：
文献类型：
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作者：
R. Carmona
本文的目的是强调最初在固定收益市场模型框架中引入的 HJM 方法的一些关键要素，解释如何在信贷投资组合衍生品中实施相同的原理，并展示如何将其扩展到股票市场模型中并在其中使用。在每种情况下，我们都展示了 HJM 方法如何本着 Heath、Jarrow 和 Morton 的原始工作的精神自然地产生一致性条件和无套利条件。尽管权益模型中漂移条件的实际计算和推导似乎是新的，但本文的目的是对现有结果进行调查，因此，它本质上主要是教学性的。
The purpose of this paper is to highlight some of the key elements of the HJM approach as originally introduced in the framework of fixed income market models, to explain how the very same philosophy was implemented in the case of credit portfolio derivatives and to show how it can be extended to and used in the case of equity market models. In each case we show how the HJM approach naturally yields a consistency condition and a no-arbitrage conditions in the spirit of the original work of Heath, Jarrow and Morton. Even though the actual computations and the derivation of the drift condition in the case of equity models seems to be new, the paper is intended as a survey of existing results, and as such, it is mostly pedagogical in nature.