Heath–Jarrow–Morton框架
期限（时间）
期货合约
收益率曲线
利率
远期汇率
仿射期限结构模型
经济
利率衍生品
套利
金融经济学
精算学
计量经济学
货币经济学
物理
量子力学
标识
DOI：10.1146/annurev.financial.050808.114513
摘要
This paper reviews the term structure of interest rates literature relating to the arbitrage-free pricing and hedging of interest rate derivatives. Term structure theory is emphasized. Topics included are the HJM model, forward and futures contracts, the expectations hypothesis, and the pricing of caps/floors. Directions for future research are discussed.
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