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arXiv · 2411.01983

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

Claudio Fontana·Eckhard Platen·Stefan Tappe
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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.

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Claudio Fontana, Eckhard Platen, Stefan Tappe. 2024-11-04. Real-world models for multiple term structures: a unifying HJM semimartingale framework. https://arxiv.org/abs/2411.01983

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