Related papers: The affine inflation market models

In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the L\'evy Libor model developed by Eberlein and \"Ozkan (2005). This model is an extension to L\'evy driving processes of the classical…

We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise,…

This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between…

We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the…

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\xi} with memory as e.g. a L\'evy semi-stationary process.…

We consider the class of affine LIBOR models with multiple curves, which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative interest rates and positive spreads. By introducing an…

We develop an arbitrage-free random field LIBOR market model to price cross-currency derivatives. The uncertainty of the forward LIBOR rates of our cross-currency model is driven by a two time parameter random field instead of a finite…

Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be…

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…

In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to 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…

Non-abelian discrete gauge symmetries can provide the inflaton with a flat potential even when one takes into account gravitational strength effects. The discreteness of the symmetries also provide special field values where inflation can…

I use the method of retrofitting, developed by Dine, Feng and Silverstein, to generate the scale of inflation dynamically, allowing it to be naturally small. This is a general procedure that may be performed on existing models of…

This paper is based on a talk in which I discussed how a component of the dynamical affine connection, that is independent of the metric, can drive inflation in agreement with observations. This provides a geometrical origin for the…

When interest rate dynamics are described by the Libor Market Model as in BGM97, we show how some essential risk-management results can be obtained from the dual of the calibration program. In particular, if the objetive is to maximize…

We study a class of generalized inflation models in which the inflaton is coupled to the Ricci scalar by a general $f(\phi, R)$ term. The scalar power spectrum, the spectral index, the running of the spectral index, the tensor mode spectrum…

Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…

A natural combination of the first and second derivatives of the scalar potential was achieved in a framework of an alternative refined de Sitter conjecture recently proposed in the literature. In this work, we study various inflation…

The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…

Taking field theory seriously, inflation model-building is difficult but not impossible. The observed value of the spectral index of the adiabatic density perturbation is starting to discriminate between models, and may well pick out a…