英文标题：
《Arbitrage-Free Interpolation in Models of Market Observable Interest
  Rates》
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作者：
Erik Schl\\\"ogl
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最新提交年份：
2018
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英文摘要：
  Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed initially in a discrete tenor framework. Interpolating interest rates between maturities in the discrete tenor structure is equivalent to extending the model to continuous tenor. The present paper sets forth an alternative way of performing this extension; one which preserves the Markovian properties of the discrete tenor models and guarantees the positivity of all interpolated rates.
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中文摘要：
假设利率对数正态动态的模型，根据市场惯例进行组合，如远期伦敦银行同业拆借利率或远期掉期利率，可以在离散的期限框架中初步构建。在离散期限结构中的到期日之间插入利率相当于将模型扩展到连续期限。本文件阐述了执行此扩展的替代方法；一种保持离散期限模型的马尔可夫性质并保证所有插值利率的正性的方法。
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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：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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