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What is the Heath Jarrow Morton (HJM) model in interest rates?
Hello All, I am interested in knowing what is HJM model ? How are they computed ? What are they used for and how are volatility surface derived ? How are they useed for valuations? Want to know mainly in brief and simple/layman language. Thanks- kalpesh88
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- computation derivative hjm interest rate model valuation volatility
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- Forum: P2.T5. Market Risk (25%)