Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Term structure modeling for multiple curves with stochastic
  discontinuities   We develop a general term structure framework taking stochastic
discontinuities explicitly into account. Stochastic discontinuities are a key
feature in interest rate markets, as for example the jumps of the term
structures in correspondence to monetary policy meetings of the ECB show. We
provide a general analysis of multiple curve markets under minimal assumptions
in an extended HJM framework and provide a fundamental theorem of asset pricing
based on NAFLVR. The approach with stochastic discontinuities permits to embed
market models directly, unifying seemingly different modeling philosophies. We
also develop a tractable class of models, based on affine semimartingales,
going beyond the requirement of stochastic continuity.

25
The categories of this paper are: patt-sol
8
The categories of this paper are: hep-ex
3
The categories of this paper are: physics
37
The categories of this paper are: supr-con
23
The categories of this paper are: solv-int
13
The categories of this paper are: quant-ph
14
The categories of this paper are: math-ph
28
The categories of this paper are: alg-geom
21
The categories of this paper are: adap-org
24
The categories of this paper are: dg-ga
34
The categories of this paper are: chem-ph
33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
35
The categories of this paper are: mtrl-th
12
The categories of this paper are: nucl-th
22
The categories of this paper are: chao-dyn