Related papers: Inflation securities valuation with macroeconomic-…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
Starting solely with a set of possible prices for a traded asset $S$ (in infinite discrete time) expressed in units of a numeraire, we explain how to construct a Daniell type of integral representing prices of integrable functions depending…
Stochastic inflation, together with the $\Delta N$ formalism, provides a powerful tool for estimating the large-scale behaviour of primordial fluctuations. In this work, we develop a numerical code to capture the non-perturbative statistics…
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction…
We propose a cosmological framework in which neutrino masses evolve dynamically through coupling with a scalar field that simultaneously drives inflation. The neutrino mass is modeled as a power-law, exponential, or hybrid function of the…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
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 problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
We study an inflation model with nonminimal derivative coupling that features a coupling between the derivative of the inflaton field and the Einstein tensor. This model naturally amplifies curvature perturbations at small scales via…
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…
It has become standard practice to take the logarithmic growth of the scale factor as a measure of the amount of inflation, despite the well-known fact that this is only an approximation for the true amount of inflation required to solve…
We investigate the predictions of inflation models with a non-minimal coupling to gravity for inflationary observables such as the spectral index and tensor-to-scalar ratio in a general setting. We argue that, depending on the relation…
The three-year data from WMAP are in stunning agreement with the simplest possible quadratic potential for chaotic inflation, as well as with new or symmetry-breaking inflation. We investigate the possibilities for incorporating these…
A pressing problem in comparing inflationary models with observation is the accurate calculation of correlation functions. One approach is to evolve them using ordinary differential equations ("transport equations"), analogous to the…
We present a generic inference method for inflation models from observational data by the usage of higher-order statistics of the curvature perturbation on uniform density hypersurfaces. This method is based on the calculation of the…
We show that inflation which is dominated by the D-term density avoids the `slow-roll' problem of inflation in supergravity. Such an inflationary scenario can naturally emerge in theories with non-anomalous or anomalous U(1) gauge symmetry.…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
In this paper, we investigate various inflation models in the context of the no-boundary proposal. We propose that a good inflation model should satisfy three conditions: observational constraints, plausible initial conditions, and…