ABSTRACT
Modern interest rate modelling began1 with Ho & Lee’s (HL) important 1986 paper [54], and matured into the Heath, Jarrow and Morton (HJM) model [52], which was circulating in 1988, and which became the standard framework for interest rates in the early ‘90s. Initial work on the market models was done within that framework, so to set the scene, the single-currency domestic version of HJM is reviewed in Section-1.1.
