摘要翻译：
本文研究了债务抵押债券的建模问题。将Filipovi\'c、Overbeck和Schmidt(2009)推广到远期汇率受有限维L\'evy过程驱动的情形，我们提出了一个自顶向下的远期汇率模型。本文的贡献是双重的：我们在这个广义的框架中给出了不存在套利的条件。此外，我们将市场模型嵌入到Brace，Gatarek和Musiela(1997)的远期汇率框架中，研究了它们与市场模型的关系。
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英文标题：
《CDO term structure modelling with Levy processes and the relation to
  market models》
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作者：
Thorsten Schmidt and Jerzy Zabczyk
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional L\'evy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we study the relation to market models by embedding them in the forward rate framework in spirit of Brace, Gatarek and Musiela (1997).
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PDF链接：
https://arxiv.org/pdf/1007.1706