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Knowledge Base » A Spreadsheet Implementation of the Heath-Jarrow-Morton Interest Rate Model

A Spreadsheet Implementation of the Heath-Jarrow-Morton Interest Rate Model

Document ID: 1999-48 (previously 1998/012)
Published on: 1st June 1999
Author: Phil Mowbray

This article has been archived. This note describes a spreadsheet implementation of a 3-factor Heath-Jarrow-Morton (HJM) interest rate model. NOTE: This version of the HJM model is not implemeted within the ESG.

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
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  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
  • Alternative Assets
  • Credit
  • Joint Distribution
  • Exchange Rate / Currency
  • Derivatives
  • Equity
  • Inflation
  • Interest Rates
  • Property

• Product Areas
  • Capital Measurement
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Other categories

• Calibration Methodology & Techniques
• Calibration Notes
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• Events
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• iESG
  • Version 6.2
• Monte Carlo Methodology
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• Outputs & Validation
• Solvency II Sample Documentation
• Archive

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