Related papers: Inflation securities valuation with macroeconomic-…

This study extended noncanonical warm inflation to the nonminimal derivative coupling scenario. The fundamental equations, including the evolution equations and the slow roll equations of this new framework, were derived. The enlarged…

A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…

We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…

This paper analyzes the pricing of collateralized derivatives, i.e. contracts where counterparties are not only subject to financial derivatives cash flows but also to collateral cash flows arising from a collateral agreement. We do this…

This study presents a computational and theoretical framework inspired by thermodynamic principles to analyze the dynamics of economic inflation within adiabatic and non-adiabatic systems. In a framework referred to as developmental…

We investigate a class of slow roll inflationary models in the light of the recent Cosmic Microwave Background constraints from Planck 2018, ACT DR6, DESI DR1, and BICEP/\textit{Keck} 2018. The combined dataset favors a higher value of the…

Inflationary models with a non-zero background curvature require additional hypothesis or parameters compared to flat inflation and the procedure to construct them cannot be as simple as in the flat case. For this reason, there is no…

The presence of multiple fields during inflation might seed a detectable amount of non-Gaussianity in the curvature perturbations, which in turn becomes observable in present data sets like the cosmic microwave background (CMB) or the large…

Warm inflation dynamics is fundamentally based on a system-reservoir configuration in which the dynamics is dictated by a fluctuation-dissipation relation. Recent work by Cerioni et. al. (arXiv:0804.0163) examined dissipative dynamics with…

In the theory of riskfree hedges in continuous time finance, one can start with the delta-hedge and derive the option pricing equation, or one can start with the replicating, self-financing hedging strategy and derive both the delta-hedge…

We study and analyze the dynamic properties of both canonical and noncanonical warm inflationary models with dissipative effects. We consider different models of canonical warm inflation with different dissipative coefficients and prove…

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility…

This paper surveys the empirical literature of inflation targeting. The main findings from our review are the following: there is robust empirical evidence that larger and more developed countries are more likely to adopt the IT regime; the…

A new family of inflationary models is introduced and analysed. The behaviour of the parameters characterising the models suggest preferred values, which generate the most interesting testable predictions. Results are further improved if…

We present a new approach for the pricing of interest rate derivatives which allows a direct computation of option premiums without deriving a (Black-Scholes type) partial differential equation and without explicitly solving the stochastic…

Inflationary models are usually based on dynamics of one or more scalar fields coupled to gravity. In this work we present a new class of inflationary models, gauge-flation or non-Abelian gauge field inflation, where slow-roll inflation is…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

We study inflationary scenarios driven by a scalar field in the presence of a non-minimal coupling between matter and curvature. We show that the Friedmann equation can be significantly modified when the energy density during inflation…

This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…