英文标题：
《Real-world forward rate dynamics with affine realizations》
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作者：
Eckhard Platen and Stefan Tappe
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最新提交年份：
2019
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英文摘要：
We investigate the existence of affine realizations for L\\\'{e}vy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral approach concerning the existence of affine realizations are transferred to the general case. A similar result holds true for models driven by compound Poisson processes with finite jump size distributions. However, in the presence of jumps with infinite activity we obtain severe restrictions on the structure of the market price of risk; typically, it must even be constant.
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中文摘要：
我们研究了现实世界概率测度下L{e}vy驱动的利率期限结构模型仿射实现的存在性，到目前为止，仅在假设的风险中性概率测度下研究了仿射实现。对于由维纳过程驱动的模型，在风险中性方法下得到的关于仿射实现存在性的所有结果都转移到一般情况。对于由具有有限跳跃大小分布的复合泊松过程驱动的模型，类似的结果也是成立的。然而，在存在无限活动跳跃的情况下，我们对风险的市场价格结构获得了严格的限制；通常，它甚至必须是常数。
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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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