Filipovic, Damir2024-02-142024-02-142024-02-142023-10-0110.1007/s00780-023-00514-0https://infoscience.epfl.ch/handle/20.500.14299/203712WOS:001078493800003Discount 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.Physical SciencesDiscountFactor ModelsStochastic Partial Differential EquationTerm Structure ModelsZero-Coupon BondsC32G12G13text::journal::journal article::research article