O que é Jarrow–Yildirim model?

The Jarrow–Yildirim model (2003) models the nominal short rate and the real short rate as two Hull–White processes and the index as a lognormal exchange rate between them: $dI/I = (n_t-r^R_t)\,dt+\sigma_I\,dW_I$ under the nominal measure, with correlations between the three drivers. As with a foreign short rate seen from home (the quanto adjustment of One Quant Book 5, chapter 17), the real rate acquires the drift $-\rho\,\sigma_R\sigma_I$ under the nominal measure, $\rho$ the correlation of the real rate with the index.