Discount models
提出了一个无套利的动态贴现模型框架，作为Heath-Jarrow-Morton远期利率模型的替代方案，推导了因子模型的一致性条件，并讨论了仿射期限结构模型。
Abstract Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath–Jarrow–Morton framework for forward rates. We derive general consistency conditions for factor models, and discuss affine term structure models in particular. There are several open problems, and we outline possible directions for further research.