Heath–Jarrow–Morton framework

The Heath–Jarrow–Morton (HJM) framework is a mathematical model used in finance to describe the evolution of interest rates over time. It is particularly useful for modeling the entire term structure of interest rates, which refers to the relationship between interest rates of different maturities. The HJM framework was developed by David Heath, Robert Jarrow, and Andrew Morton in the early 1990s.

A **forward curve** is a graphical representation or a tabular depiction of the prices at which a particular asset or commodity can be bought or sold for delivery at various points in the future. It is commonly used in the finance and commodities markets to illustrate the market's expectations about future prices based on current data and conditions.

The LIBOR market model (LMM), also known as the Brace-Gatarek-Musiela (BGM) model, is a framework used in finance for modeling the evolution of interest rates in the context of the London Interbank Offered Rate (LIBOR). It is particularly useful for pricing and managing the risk of interest rate derivatives, such as interest rate swaps and caps/floors.