Related papers: The affine inflation market models
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…
The warm inflationary scenario is investigated in the context of affine gravity formalism. A general framework is provided for studying different single-field potentials. Using the sphaleron mechanism we explain the continuous dissipation…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
We study a simple extension of Linde's hybrid inflation model, with the inflaton mass term replaced by the most general renormalizable potential for $\phi$. The unprocessed power spectrum of density perturbations can have two minima and one…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
We consider a broad class of inflationary models that arise naturally in supergravity. They are defined in terms of a parameter $\alpha$ that determines the curvature and cutoff of these models. As a function of this parameter, we exhibit…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
In this work we considered several hybrid modelling approaches for forecasting energy spot prices in EPEC market. Hybridization is performed through combining a Naive model, Fourier analysis, ARMA and GARCH models, a mean-reversion and…
Systematic understanding for classes of inflationary models is investigated from the viewpoint of the local conformal symmetry and the slightly broken global symmetry in the framework of the metric-affine geometry. In the metric-affine…
We construct a no-scale model of inflation with a single modulus whose real and imaginary parts are fixed by simple power-law corrections to the no-scale K{\" a}hler potential. Assuming an uplift of the minimum of the effective potential,…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…
We introduce a class of interest rate models, called the $\alpha$-CIR model, which gives a natural extension of the standard CIR model by adopting the $\alpha$-stable L{\'e}vy process and preserving the branching property. This model allows…
We summarize our work on constant roll inflationary models. It was understood recently that constant roll inflation, in a regime beyond the slow roll approximation, can give models that are in agreement with the observational constraints.…
It is pointed out that hybrid inflation can be implemented with the inflaton field rolling away from the origin instead of towards it. This `inverted' hybrid inflation has a spectral index $ n < 1 $, in contrast with ordinary hybrid…
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are…
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic…
We investigate the predictions of inflation models with a non-minimal coupling to gravity for inflationary observables such as the spectral index and tensor-to-scalar ratio in a general setting. We argue that, depending on the relation…