Related papers: The affine inflation market models
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…
We propose a general inverse formula for extracting inflationary parameters from the observed power spectrum of cosmological perturbations. Under the general slow-roll scheme, which helps to probe the properties of inflation in a model…
Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as…
We compare forecasts of United States inflation from the Survey of Professional Forecasters (SPF) to predictions made by simple statistical techniques. In nowcasting, economic expertise is persuasive. When projecting beyond the current…
Given a system of analytic functions and an approximate zero, we introduce inflation to transform this system into one with a regular quadratic zero. This leads to a method for isolating a cluster of zeros of the given system.
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation…
Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…
We explore the possibility of obtaining inflation in weakly coupled heterotic string theory, where the model dependent axions are responsible for driving inflation. This model can be considered as a certain extrapolation of…
We study models of inflation where the inflaton corresponds to a flat direction in field space and its mass term is generated by gravity mediated soft supersymmetry breaking at high scale. Assuming the inflaton to have non negligible…
We discuss an inflation model, in which the inflation is driven by a single scalar field with exponential potential on a warped DGP brane. In contrast to the power law inflation in standard model, we find that the inflationary phase can…
Recent fits of cosmological parameters by the Wilkinson Microwave Anisotropy Probe (WMAP) measurement favor a primordial scalar spectrum with varying index. This result, if stands, could severely constrain inflation model buildings. Most…
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model…
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
The Minimal Supersymmetry Standard Model contains several hundreds of D- and F-flat directions that are lifted by soft susy breaking terms as well as by non-renormalizable terms. In a recent paper we find that only two of these directions,…
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and correlations swaps with semi-Markov…
A unified approach to quintessence and inflation is investigated with the use of a single scalar field. It is argued that successful potentials have to approximate a combination of exponential and inverse power-law decline in the limit of…
We show that in the Feebly Interacting Massive Particle (FIMP) model of Dark Matter (DM), one may express the inflationary energy scale $H_*$ as a function of three otherwise unrelated quantities, the DM isocurvature perturbation amplitude,…
Two distinct classes of realistic inflationary models consistent with present observations are reviewed. The first example relies on the Coleman-Weinberg potential and is readily realized within the framework of spontaneously broken global…