Related papers: Inflation securities valuation with macroeconomic-…
We study a nonminimal derivative inflationary model in the presence of the Gauss-Bonnet term. To have a complete treatment of the model, we consider a general form of the nonminimal derivative function and also the Gauss-Bonnet coupling…
In the context of gauge theories, observable quantities, if properly defined and computed, do not depend on the gauge-fixing procedure. In this paper, we develop a formalism that implements this (apparent) tautology in the case of…
In the present paper, certain inflation models are shown to have large non-Gaussianity in special cases. Namely, finite length inflation models with an effective higher derivative interaction, in which slow-roll inflation is adopted as…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
Non-abelian discrete gauge symmetries can provide the inflaton with a flat potential even when one takes into account gravitational strength effects. The discreteness of the symmetries also provide special field values where inflation can…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched…
Dynamical models of inflation are given with composite inflatons by means of massive supersymmetric gauge theory. Nearly flat directions and stable massive ones in the potential are identified and slow-roll during inflation is examined.…
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting…
How does public debt matter for price stability? If it is useful for the private sector to insure idiosyncratic risk, even transitory government debt expansions can exert upward pressure on interest rates and create inflation. As I…
Understanding when inflationary perturbations become genuinely nonlinear near the horizon crossing requires methods that go beyond both linear perturbation theory and the gradient expansion. In this work, we introduce a nonlinear lattice…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…
We review the theory of inflation with single and multiple fields paying particular attention to the dynamics of adiabatic and entropy/isocurvature perturbations which provide the primary means of testing inflationary models. We review the…
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a…
This paper discusses models of inflation based on global supersymmetry. It is shown that there are parameter ranges, consisent with observational constraints, for which warm inflation occurs and supergravity effects can be neglected. There…