Related papers: Inflation securities valuation with macroeconomic-…

In this paper we show that the dynamics associated with slow-roll models of inflation can be investigated through a method called deformation procedure. Using the latter, we explicitly derive an expression linking two slow-roll inflationary…

We construct an inflation model with inflaton non-minimally coupled to gravity on a warped DGP brane. Using an exponential potential, we calculate scalar power spectrum, spectral index and the running of the spectral index. We show that for…

We consider a model of D-term inflation in which the inflaton coincides with the standard Higgs doublet. Non-renormalizable terms are controlled by a discrete R-symmetry of the superpotential. We consider radiative corrections to the scalar…

We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…

We revisit the time evolution of a flat and non-flat direction system during inflation. In order to take into account quantum noises in the analysis, we base on stochastic formalism and solve coupled Langevin equations numerically. We focus…

We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap…

The scalar perturbations in inflationary models, based on a two-component diagonal non-linear sigma model, are considered. For inhomogeneities generated at an inflationary stage, the law of motion of the comoving curvature ${\cal R}$ is…

I study a static textbook model of monetary policy and relax the conventional assumption that the private sector has rational expectations. Instead, the private sector forms inflation forecasts according to a misspecified subjective model…

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 proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…

We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrated model which is the closest, in a way that can be defined…

There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999),…

In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are…

We investigate how inflation model selection is affected by the presence of additional free-streaming relativistic degrees of freedom, i.e. dark radiation. We perform a full Bayesian analysis of both inflation parameters and cosmological…

For simple inflationary models, we provide a consistent and complete scheme by which the macro-physical details of early universe inflation may be determined explicitly from the underlying micro-physical theory. We examine inflationary…

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…

Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…

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,…

In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via…

In this study, we consider the asset pricing under model uncertainty with discrete time and states structure. For the single-period securities model, we give a novel definition of arbitrage under a family of probability, and explore of its…