英文标题：
《Discrete Time Term Structure Theory and Consistent Recalibration Models》
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作者：
Anja Richter and Josef Teichmann
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最新提交年份：
2014
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英文摘要：
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\\\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily formulated and implemented from the chosen discrete point of view. In mathematical terms we provide an algorithmic answer to the following question: describe a rich, still tractable class of discrete time stochastic processes, whose marginal distributions are given at initial time and which are free of arbitrage. In terms of mathematical finance we can construct models with pre-described (implied) volatility surface and quite general volatility surface dynamics. In terms of the works of Rene Carmona and Sergey Nadtochiy, we analyze the dynamics of tangent affine models. We believe that the discrete approach due to its technical simplicity will be important in term structure modelling.
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中文摘要：
在Jan Kallsen和Paul Kr的一篇开创性论文之后，我们发展了离散时间正向特征过程的理论和应用\\“uhner。特别强调的是波动表面的动力学，它可以从所选的离散角度很容易地制定和实施。用数学术语，我们为以下问题提供了一个算法答案：描述一个丰富的、仍然易于处理的离散时间随机过程类，其边际分布在初始时间给出，并且是自由的f套利。在数学金融方面，我们可以用预先描述的（隐含的）波动率面和相当普遍的波动率面动力学来构建模型。根据Rene Carmona和Sergey Nadtochiy的工作，我们分析了切线仿射模型的动力学。我们相信，由于其技术简单，离散方法在期限结构建模中将非常重要。
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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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