Related papers: The affine inflation market models
We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show…
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a…
Picking out DBI scalar field as inflation, the slow-rolling inflationary scenario is studied by attributing an exponential time function to scale factor; known as intermediate inflation. The perturbation parameters of the model are…
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. This…
We realize and study a model of hybrid inflation in the context of softly broken supersymmetry. The inflaton is taken to be a flat direction in the superfield space and, due to unsuppressed couplings, its soft supersymmetry breaking mass…
We consider a financial market with zero-coupon bonds that are exposed to credit and liquidity risk. We revisit the famous Jarrow & Turnbull setting in order to account for these two intricately intertwined risk types. We utilise the…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
Calculating the primordial bispectrum predicted by a model of inflation and comparing it to what we see in the sky is very computationally intensive, necessitating layers of approximations and limiting the models which can be constrained.…
We provide an update on five relatively well motivated inflationary models in which the inflaton is a Standard Model singlet scalar field. These include i) the textbook quadratic and quartic potential models but with additional couplings of…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
A new family of inflationary models is introduced and analysed. The behaviour of the parameters characterising the models suggest preferred values, which generate the most interesting testable predictions. Results are further improved if…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is…
The smallness of the neutrino masses may be related to inflation. The minimal supersymmetric Standard Model (MSSM) with small Dirac neutrino masses already has all the necessary ingredients for a successful inflation. In this model the…
The most important criteria for a successful inflation are to explain the observed temperature anisotropy in the cosmic microwave background radiation, and exiting inflation in a vacuum where it can excite the Standard Model quarks and…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
It is usually supposed that inflation is of the slow-roll variety, and that the inflaton generates the primordial curvature perturbation. According to the curvaton hypothesis, inflation need not be slow-roll, and if it is the inflaton…
Warm inflationary universe models in the context of intermediate expansion, between power law and exponential, are studied. General conditions required for these models to be realizable are derived and discussed. This study is done in the…