现实世界下的远期利率动态及其仿射实现
Real-world forward rate dynamics with affine realizations
AI总结：
本文研究了在现实世界概率测度下，由莱维过程驱动的利率期限结构模型中仿射实现的存在性，揭示了在存在无限活动跳跃时对市场风险价格的限制。
摘要：
我们研究了在现实世界概率测度下，由莱维过程驱动的利率期限结构模型中仿射实现存在的可能性，这一问题此前仅在假设风险中性概率测度下被研究。对于由维纳过程驱动的模型，所有在风险中性方法下关于仿射实现存在性的结果均可推广到一般情况。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，也得出类似的结果。然而，在存在无限活动跳跃的情况下，我们得到对市场风险价格结构的严重限制；通常，它必须甚至为常数。
英文摘要：
We investigate the existence of affine realizations for Lévy 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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