Related papers: The affine inflation market models
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
A simple realization of inflation consists of adding the following operators to the Einstein-Hilbert action: (partial phi)^2, lambda phi^4, and xi phi^2 R, with xi a large non-minimal coupling. Recently there has been much discussion as to…
In the general framework of Metric-Affine theories of gravity, where the metric and the connection are independent variables, we consider actions quadratic in the Ricci scalar curvature and the Holst invariant (the contraction of the…
Recent large scale structure observations, including COBE, have prompted many authors to discuss modifications of the standard Cold Dark Matter model. Two of these, a tilted spectrum and a gravitational wave contribution to COBE, are at…
We propose a new class of natural inflation models based on a hidden scale invariance. In a very generic Wilsonian effective field theory with an arbitrary number of scalar fields, which exhibits scale invariance via the dilaton, the…
Inflation in the framework of $f(R)$ modified gravity is revisited. We study the conditions that $f(R)$ should satisfy in order to lead to a viable inflationary model in the original form and in the Einstein frame. Based on these criteria…
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian L\'evy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier…
We clarify inflaton models by considering them as effective field theories in the Ginzburg-Landau spirit.In this new approach, the precise form of the inflationary potential is constructed from the present WMAP data, and a useful scheme is…
We explore inflation via the effective potential of the minimal Wess-Zumino model, considering both the real and imaginary components of the complex field. Using transport techniques, we calculate the full allowed range of $n_s$, $r$ and…
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…
I investigate multi-field inflationary models with fields that decay during inflation, leading to staggered inflation. This feature is natural in many models motivated by string theory, for instance if inflatons are related to interbrane…
Normalizing flows attempt to model an arbitrary probability distribution through a set of invertible mappings. These transformations are required to achieve a tractable Jacobian determinant that can be used in high-dimensional scenarios.…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
We construct a natural inflation model with the inflaton as a linear combination of the fifth components of Abelian gauge fields in a five-dimensional theory. A seesaw mechanism is introduced to provide a natural milli-charge for matter…
We follow the lines of Musiela and Rutkowski and extend their interpolation method to models with jumps. Together with an extension method for the tenor structure of a given LIBOR market model (LMM) we get an infinite LIBOR termstructure.…
The parameter space for A-term inflation is explored with $W=\lambda_p \phi^p/(p M_P^{p-3})$. With p=6 and \lambda_p~1, the observed spectrum and spectral tilt can be obtained with soft mass of order 10^2 GeV but not with a much higher…
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that…
For point sets and tilings that can be constructed with the projection method, one has a good understanding of the correlation structure, and also of the corresponding spectra, both in the dynamical and in the diffraction sense. For systems…
We describe how to apply the transport method to compute inflationary observables in a broad range of multiple-field models. The method is efficient and encompasses scenarios with curved field-space metrics, violations of slow-roll…
In this article we focus on the pricing of exchange options when the dynamic of logprices follows either the well-known variance gamma or the recent variance gamma++ process introduced in Gardini et al [19]. In particular, for the former…