英文标题：
《Term structure modeling for multiple curves with stochastic
  discontinuities》
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作者：
Claudio Fontana, Zorana Grbac, Sandrine G\\\"umbel, Thorsten Schmidt
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最新提交年份：
2019
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英文摘要：
  We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in correspondence to monetary policy meetings of the ECB show. We provide a general analysis of multiple curve markets under minimal assumptions in an extended HJM framework and provide a fundamental theorem of asset pricing based on NAFLVR. The approach with stochastic discontinuities permits to embed market models directly, unifying seemingly different modeling philosophies. We also develop a tractable class of models, based on affine semimartingales, going beyond the requirement of stochastic continuity.
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中文摘要：
我们开发了一个明确考虑随机不连续性的通用期限结构框架。随机不连续性是利率市场的一个关键特征，例如，与欧洲央行货币政策会议相对应的期限结构的跳跃。我们在一个扩展的HJM框架中提供了在最小假设下的多曲线市场的一般分析，并提供了基于NAFLVR的资产定价的基本定理。具有随机不连续性的方法允许直接嵌入市场模型，统一看似不同的建模理念。我们还开发了一类基于仿射半鞅的可处理模型，超越了随机连续性的要求。
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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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