英文标题：
《Consistent Recalibration of Yield Curve Models》
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作者：
Philipp Harms and David Stefanovits and Josef Teichmann and Mario
W\\\"uthrich
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最新提交年份：
2016
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英文摘要：
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit time-dependent or even stochastic parameters. This in turn breaks their tractability, and modelling and simulating becomes an arduous task. We introduce a new class of Heath-Jarrow-Morton (HJM) models that both fit the dynamics of real market data and remain tractable. We call these models consistent recalibration (CRC) models. These CRC models appear as limits of concatenations of forward rate increments, each belonging to a Hull-White extended affine factor model with possibly different parameters. That is, we construct HJM models from \"tangent\" affine models. We develop a theory for a continuous path version of such models and discuss their numerical implementations within the Vasicek and Cox-Ingersoll-Ross frameworks.
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中文摘要：
仿射（短期利率）模型（如Vasicek和Cox-Ingersoll-Ross模型）的分析可处理性使其成为利率动态建模的热门选择。然而，为了正确地考虑真实数据的动态性，这些模型需要表现出与时间相关甚至随机的参数。这反过来又破坏了它们的可处理性，建模和模拟成为一项艰巨的任务。我们引入了一类新的Heath Jarrow Morton（HJM）模型，该模型既符合真实市场数据的动态，又保持易处理性。我们称这些模型为一致性再校准（CRC）模型。这些CRC模型显示为前向速率增量串联的极限，每一个都属于可能具有不同参数的赫尔-怀特扩展仿射因子模型。也就是说，我们从“切线”仿射模型构造HJM模型。我们为这种模型的连续路径版本开发了一个理论，并在Vasicek和Cox Ingersoll-Ross框架内讨论了它们的数值实现。
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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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