Heath-Jarrow-Morton model
= Heath-Jarrow-Morton model
{c}
{title2=$df(t,T)=\sigma(t,T)\int_t^T\sigma(t,u)du\,dt+\sigma(t,T)dW_t$}
A model evolving the entire <instantaneous forward rate> curve. In the displayed one-factor <risk-neutral measure> dynamics the <drift> restriction makes every suitably integrable discounted <zero-coupon bond> price a <martingale>. The multi-factor form replaces the product of volatilities by their <dot product>.