Related papers: The affine inflation market models
For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for change of level and…
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it is a three-parameter multicurve extension of the…
The LIBOR Market Model (LMM) is a widely used model for pricing interest rate derivatives. While the Black-Scholes model is well-known for pricing stock derivatives such as stock options, a larger portion of derivatives are based on…
Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…
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…
The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient…
Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the…
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the…
In this paper we inquire inflationary scenarios built on a simplified version of the polynomial affine model of gravity. Given the absence of a metric tensor in the formulation of the model, we build a \emph{kinetic term} contracting the…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond,…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models…
We consider the spectrum of primordial fluctuations produced by inflationary models where the inflaton potential is the sum of two exponential terms. A wide range of spectra result, with the only constraint being that the scalar spectrum…
We consider small-field models which invoke the usual framework for the effective field theory, and large-field models which go beyond that. Present and future possibilities for discriminating between the models are assessed, on the…
We propose a novel model of inflation based on a large class of covariant effective actions containing only the second derivatives of a scalar field. The initial conditions leading to the inflationary solutions in this model are rather…
We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can be a discrete-time or a continuous-time model, and the…
We develop general criteria to construct unified frameworks for inflation and quintessence which employ a unique scalar field to drive both. By using such a minimal theoretical framework we avoid having to fine-tune couplings and…
Brane inflation can provide a promissing framework for solving the fine-tuning problem in standard inflationary models. The aim of this paper is to illustrate the mechanism by which this can be achieved. By considering the supersymmetric…
We derive exact and closed-form expressions for a large class of two-point and three-point inflation correlators with the tree-level exchange of a single massive particle. The intermediate massive particle is allowed to have arbitrary mass,…