Related papers: Negative interest rates: why and how?

We point out that the theoretical predictions for the inflationary observables may be generically altered by the presence of fields which are heavier than the Hubble rate during inflation and whose dynamics is usually neglected. They…

A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the…

This paper quantifies the international spillovers of US interest rates by explicitly controlling for the "Fed Information Effect". I use multiple identification strategies that identify two components of monetary policy surprises around…

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2019. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate…

A signed probability distribution may extend a given traditional probability from observable events to all events. We formalize and illustrate this approach. We also illustrate its limitation. We argue that the right question is not what…

I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…

There are many studies on development of models for analyzing some derivatives such as credit default swaps .

In a ghost inflationary scenario, we study the observational consequences of a tilt in the potential of the ghost condensate. We show how the presence of a tilt tends to make contact between the natural predictions of ghost inflation and…

The Lindy effect is a statistical tendency for things with longer pasts behind them to have longer futures ahead. It has been experimentally confirmed to apply to some categories, but not others, raising questions about when it is…

In affine term structure models the short rate is modelled as an affine transformation of a multi-dimensional square root process. Sufficient conditions to avoid negative volatility factors are the multivariate Feller conditions. We will…

We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practically zero interest rate. The corresponding BDT algorithms…

Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…

Negative differential mobility is the phenomenon in which the velocity of a particle decreases when the force driving it increases. We study this phenomenon in Markov jump models where a particle moves in the presence of walls that act as…

While all materials reduce their intrinsic volume under hydrostatic (uniform) compression, a select few actually \emph{expand} along one or more directions during this process of densification. As rare as it is counterintuitive, such…

We present a method of training a differentiable function approximator for a regression task using negative examples. We effect this training using negative learning rates. We also show how this method can be used to perform direct policy…

We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…

In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…

Investigating the future value $F(K,s,t)$ of a capital $K$ invested at date $S$ at date $t$ the "natural" condition $F(K,s,t)\geq K$ has lost its naturality because of the strange fact of negative interest rates. This leads to the task of…

The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…

Adversarial samples have drawn a lot of attention from the Machine Learning community in the past few years. An adverse sample is an artificial data point coming from an imperceptible modification of a sample point aiming at misleading.…