Related papers: Interest Rates and Inflation
The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond,…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this…
A unified approach to quintessence and inflation is investigated with the use of a single scalar field. It is argued that successful potentials have to approximate a combination of exponential and inverse power-law decline in the limit of…
We consider small-field models which invoke the usual framework for the effective field theory, and large-field models which go beyond that. Present and future possibilities for discriminating between the models are assessed, on the…
It is now understood that inflation dynamics comes in two forms, isentropic or cold inflation and nonisentropic or warm inflation. In the former, inflation occurs without radiation production, whereas in the latter both radiation production…
This paper presents a model with the aim to follow, as closely as possible, the rationale of the macroeconomic model advanced by J.M. Keynes in his famous "The General Theory of Employment, Interest and Money", in order to provide a viable…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…
It is usually supposed that inflation is of the slow-roll variety, and that the inflaton generates the primordial curvature perturbation. According to the curvaton hypothesis, inflation need not be slow-roll, and if it is the inflaton…
The previously proposed class of phenomenological inflationary models in which the assumption of inflaton slow-roll is replaced by the more general, constant-roll condition is compared with the most recent cosmological observational data,…
In this paper an interesting application of mathematics in economics is presented: the formulation of the theory of consumer basic problem, grounded on the concept of preferences relation and operationalized with optimization tools.
We consider inflationary models with the inflaton coupled to the Gauss-Bonnet term assuming a special relation $\delta_1=2\lambda\epsilon_1$ between the two slow-roll parameters $\delta_1$ and $\epsilon_1$. For the slow-roll inflation, the…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a…
We have studied inflationary paradigm through an inflationary equation of state. With a single parameter equation of state as a function of the scalar field responsible for accelerated expansion, we find an observationally viable model…
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a…
Inspired by the Generalized Proca Theory, we study a vector-tensor model of inflation with massive vector fields and derivative self-interactions. The action under consideration contains a usual Maxwell-like kinetic term, a general…
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show that the outstanding balance function is…