Related papers: The affine inflation market models
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
There exist several models of inflation that produce primordial bispectra that contain a large number of oscillations. In this paper we discuss these models, and aim at finding a method of detecting such bispectra in the data. We explain…
We prove the existence of a general class of rapidly turning two-field inflationary attractors. By only requiring a large, slowly varying turn rate, we solve the system completely without specifying any metric or potential, and prove the…
Seemingly unrelated models of inflation that originate from different physical setups yield, in some cases, identical predictions for the currently constrained inflationary observables. In order to classify the available models, we propose…
A new model of inflation is described. An unusual form for the inflationary potential is obtained because the inflaton corresponds to a non-trivial path in the configuration space of the two real scalar fields of the model. The model…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it requires only the numerical evaluation of a one-dimensional…
In this article we propose a multi-zonal integrated energy-reserve market model. We assume that bidders may submit their demand and supply bids on the one hand in the form of conventional hourly step bids and block bids, which are cleared…
We invert the second order, single field, general slow-roll formula for the power spectrum, to obtain a second order formula for inflationary parameters in terms of the primordial power spectrum.
We empirically investigate the functional link between the variance swap rate and the spot variance. Using S\&P500 data over the period 2006-2018, we find overwhelming empirical evidence supporting the affine link analytically found by…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…
We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets.…
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this…
A framework of inflation is formulated based on symmetry groups and their associated automorphic functions. In this setting the inflaton multiplet takes values in a curved target space constructed from a continuous group $G$ and a discrete…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
We present a new approximation scheme that allows us to increase the accuracy of analytical predictions of the power spectra of inflationary perturbations for two specific classes of inflationary models. Among these models are chaotic…
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-field model in a classical setup, but retains the crucial…