Related papers: Inflation securities valuation with macroeconomic-…
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning literature are adopted to map a large dimensional dataset…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
In this work, we study inflation in a particular scalar-vector-tensor theory of gravitation without the $U(1)$ gauge symmetry. The model is constructed from the more general action introduced in Heisenberg et al. (Phys Rev D 98:024038,…
We derive the general formulae for the the scalar and tensor spectral tilts to the second order for the inflationary models with non-minimally derivative coupling without taking the high friction limit. The non-minimally kinetic coupling to…
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key…
We construct a no-scale model of inflation with a single modulus whose real and imaginary parts are fixed by simple power-law corrections to the no-scale K{\" a}hler potential. Assuming an uplift of the minimum of the effective potential,…
We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microstructure phenomena. Example dependencies considered include…
Most models of inflation have small parameters, either to guarantee sufficient inflation or the correct magnitude of the density perturbations. In this paper we show that, in supersymmetric theories with weak scale supersymmetry breaking,…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all…
This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the…
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are…
We propose a model for cosmic inflation which is based on an effective description of strongly interacting, nonsupersymmetric matter within the framework of dynamical abelian projection and centerization. The underlying gauge symmetry is…
Stochastic inflation describes the global structure of the inflationary universe by modeling the super-Hubble dynamics as a system of matter fields coupled to gravity where the sub-Hubble field fluctuations induce a stochastic force into…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
After reviewing the motivations for cosmological inflation formulated in the formalism of supersymmetry, we argue that the appropriate framework is that of no-scale supergravity. We then show how to construct within this framework…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…