RT Journal Article SR Electronic T1 Estimation and Hedging with a One-Factor Heath-Jarrow-Morton Model JF The Journal of Derivatives FD Institutional Investor Journals SP 49 OP 61 DO 10.3905/jod.2001.319162 VO 8 IS 4 A1 Lan-Chih Ho A1 John Cadle A1 Michael Theobald YR 2001 UL https://pm-research.com/content/8/4/49.abstract AB “Term structure models can be broadly classified into equilibrium models, which posit a fairly simple form for the interest rate process but are typically not consistent with empirically observed market yield curves, and no-arbitrage models, which build in the constraint that the interest rate process embeds the current market term structure, but become mathematically more complex. Among no-arbitrage models, the Heath-Jarrow-Morton (HJM) model permits a very rich structure of rates and rate dynamics, but can become very complicated when it is adjusted for the current yield curve. In this article, Ho, Cadle, and Theobald offer two versions of a single-factor HJM model that can be fitted to market yields relatively easily. To illustrate the application of their approach, they present an historical simulation and analyze three different hedging techniques based on their model.”