Related papers: Inflation securities valuation with macroeconomic-…
In a recent paper we proposed a new model of inflation based on the soft-breaking of N=2 supersymmetric SU(2) Yang-Mills theory. The advantage of such a model is the fact that we can write an exact expression for the effective scalar…
Inflationary models that contain a transient ultra-slow-roll phase can exhibit strong non-perturbative dynamics, making the usual perturbative treatment of cosmological fluctuations incomplete. In such regimes, quantum diffusion and the…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
We introduce a financial market model featuring a risky asset whose price follows a sticky geometric Brownian motion and a riskless asset that grows with a constant interest rate $r\in \mathbb R $. We prove that this model satisfies No…
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices…
This paper presents a discrete--time equity derivatives pricing model with default risk in a no--arbitrage framework. Using the equity--credit reduced form approach where default intensity mainly depends on the firm's equity value, we…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of…
We propose an inflation model in which the inflationary era is driven by the strong dynamics of $Sp(2)$ gauge theory. The quark condensation in the confined phase of $Sp(2)$ gauge theory generates the inflaton potential comparable to the…
Especially in the insurance industry interest rate models play a crucial role e.g. to calculate the insurance company's liabilities, performance scenarios or risk measures. A prominant candidate is the 2-Additive-Factor Gaussian Model…
We investigate the cosmological inflation for the Einstein-Hilbert action plus the Higgs potential function and the Gauss-Bonnet term coupled with the Higgs scalar field through a dilaton-like coupling. Then, using the…
Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed initially in a discrete tenor framework. Interpolating…
We consider a subclass of Horndeski theories for studying cosmic inflation. In particular, we investigate models of inflation in which the derivative self-interaction of the scalar field and the non-minimal derivative coupling to gravity…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
This short note aims to introduce a rule which admits to compute %any time rate of interest in any time per any time, rate of inflation per any time in any moment, if the rate of interest or the rate of inflation by unity of time is an…
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to provide uniform treatment of all…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…