英文标题：
《A general HJM framework for multiple yield curve modeling》
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作者：
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
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最新提交年份：
2015
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英文摘要：
  We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage and, in addition, we show how to construct models such that multiplicative spreads are greater than one and ordered with respect to the tenor\'s length. When the driving semimartingale is specified as an affine process, we obtain a flexible Markovian structure. Finally, we show that the proposed framework allows to unify and extend several recent approaches to multiple yield curve modeling.
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中文摘要：
我们提出了一个通用框架，用于模拟上次金融危机后出现的多个收益率曲线。在一般半鞅环境下，我们提供了一种HJM方法来模拟FRA利率和简单复合OIS无风险远期利率之间的乘法利差的期限结构。我们推导了一个HJM漂移和一致性条件，以确保不存在套利，此外，我们还展示了如何构造模型，使乘法利差大于1，并根据期限长度排序。当驱动半鞅被指定为仿射过程时，我们得到了一个灵活的马尔可夫结构。最后，我们展示了所提出的框架可以统一和扩展几种最新的多收益率曲线建模方法。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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