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Article Dans Une Revue Finance and Stochastics Année : 2020

Term structure modelling for multiple curves with stochastic discontinuities

Claudio Fontana
  • Fonction : Auteur
Sandrine Gümbel
  • Fonction : Auteur
Thorsten Schmidt
  • Fonction : Auteur

Résumé

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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Dates et versions

hal-03898927 , version 1 (14-12-2022)

Identifiants

Citer

Claudio Fontana, Zorana Grbac, Sandrine Gümbel, Thorsten Schmidt. Term structure modelling for multiple curves with stochastic discontinuities. Finance and Stochastics, 2020, 24 (2), pp.465-511. ⟨10.1007/s00780-020-00416-5⟩. ⟨hal-03898927⟩
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