Work

Real-world models for multiple term structures: a unifying HJM semimartingale framework

Year: 2024

Type: preprint

Abstract: We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach under the real-world probability. We study market viability and characterize the set of local martingale deflators. We conduct an analysis of the associated stochastic partial differential equation (SPDE), addressing existence and uniqueness of solutions, invariance properties and existence of affine realizations.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2411.01983

Authors: Fontana, Claudio, Platen, Eckhard, Tappe, Stefan

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Deutsche Forschungsgemeinschaft, University of Technology Sydney

Award: Invarianzprobleme für stochastische partielle Differentialgleichungen

OpenAlex ID: W4404353302

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