Related papers: Inflation securities valuation with macroeconomic-…
We study anisotropic inflation in non-minimal derivative coupling model where the scalar field non-minimally coupled to the $U(1)$ gauge fields and derivative of the scalar field non-minimally coupled to the Einstein tensor. Within the…
Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…
We consider a model of inflation consisting a single fluid with a time-dependent equation of state. In this phenomenological picture, two periods of inflation are separated by an intermediate non-inflationary stage which can be either a…
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices,…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
The meaning of the inflationary slow-roll approximation is formalised. Comparisons are made between an approach based on the Hamilton-Jacobi equations, governing the evolution of the Hubble parameter, and the usual scenario based on the…
We present a new inflation model, known as noncommutative decrumpling inflation, in which space has noncommutative geometry with time variability of the number of spatial dimensions. Within the framework of noncommutative decrumpling…
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent…
We propose a new class of inflation model, G-inflation, which has a Galileon-like nonlinear derivative interaction of the form $G(\phi, (\nabla\phi)^2)\Box\phi$ in the Lagrangian with the resultant equations of motion being of second order.…
We identify a new mechanism in supergravity theories which leads to successful inflation without any need for fine tuning. The simplest model yields a spectrum of density fluctuations tilted away from scale-invariance and negligible…
In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage principle guarantees the differentiability of asset prices with…
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a…
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model…
In hybrid inflationary models, inflation ends by a sudden instability associated with a steep ridge in the potential. Here we argue that this feature can generate a large contribution to the curvature perturbation on observable scales. This…
Studies looking at electricity market designs for very high shares of wind and solar often conclude that the energy-only market will break down. Without fuel costs, it is said that there is nothing to set prices. Symptoms of breakdown…
The causal compatibility question asks whether a given causal structure graph -- possibly involving latent variables -- constitutes a genuinely plausible causal explanation for a given probability distribution over the graph's observed…
Hybrid Higgs inflation model is a hybrid type of the so-called Higgs inflation model with the conventional non-minimal $\xi$ coupling to a scalar curvature $R$ and new Higgs inflation model with the derivative coupling to the Einstein…
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…
We investigate the inflaton decay and reheating period after the end of inflation in the non-minimal derivative coupling (NDC) model with chaotic potential. In general, this model is known to provide an enhanced slow-roll inflation caused…
Inflation universally produces classical almost scale free Gaussian inhomogeneities of any light scalars. Assuming the coupling constants at the time of inflation depend on some light moduli fields, we encounter the generation of modulated…