Related papers: The puzzle that just isn't
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
In the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two different currencies and various maturities, is analyzed. It turns…
In a general way, stock and bond prices do not display any significant correlation. Yet, if we concentrate our attention on specific episodes marked by a crash followed by a rebound, then we observe that stock prices have a strong…
An inflationary model in the framework of noncommutative space-time may generate a nontrivial running of the scalar spectral index, but usually induces a large tensor-to-scalar ratio simultaneously. With the latest observational data from…
I argue that the proposition that primordial perturbations were produced by inflation is most definitely falsifyable. Far from ``predicting anything you want'', the Gaussianity and passivity of inflationary perturbations strongly constrain…
The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…
We propose that several of the anomalies that have been observed at large angular scales in the CMB have a common origin in a cosmic bounce that took place before the inflationary era. The bounce introduces a new physical scale in the…
The Allais and Ellsberg paradoxes show that the expected utility hypothesis and Savage's Sure-Thing Principle are violated in real life decisions. The popular explanation in terms of 'ambiguity aversion' is not completely accepted. On the…
We show that the problem of existence of equilibrium in Kyle's continuous time insider trading model can be tackled by considering a forward-backward system coupled via an optimal transport type constraint at maturity. The forward component…
Inflation has been the leading early universe scenario for two decades, and has become an accepted element of the successful `cosmic concordance' model. However, there are many puzzling features of the resulting theory. It requires both…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…
We revisit the problem of the "probability of inflation" from the point of view of the Einstein-Cartan theory, where torsion can be present off-shell even in the absence of spinorial currents. An informal estimate suggests that the barrier…
Inflationary theory is already 20 years old, and it is impossible to describe all of its versions and implications in a short talk. I will concentrate on several subjects which I believe to be most important. First of all, I will give a…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
Recent results from the Planck satellite combined with earlier observations from WMAP, ACT, SPT and other experiments eliminate a wide spectrum of more complex inflationary models and favor models with a single scalar field, as reported by…
Growth of monetary assets and debts is commonly described by the formula of compound interest which for the case of continuous compounding is the exponential growth law. Its differential form is dc/dt = i c where dc/dt describes the rate of…
A macroscopic universe may emerge naturally from a Planck cell fluctuation by unfolding through a stage of exponential expansion towards a homogeneous cosmological background. Such primordial inflation requires a large and presumably…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…