Related papers: Rational Models for Inflation-Linked Derivatives
Given a consumer data-set, the axioms of revealed preference proffer a binary test for rational behaviour. A natural (non-binary) measure of the degree of rationality exhibited by the consumer is the minimum number of data points whose…
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffusions and jumps. Dirac processes are Generalized Processes,…
We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…
The existence of the inflationary era in the early Universe seems to be strongly supported by recent CMB observations. However, only a few realistic inflation scenarios which have close relation to particle physics seem to have been known…
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…
We investigate models in which inflation is driven by an ultraviolet safe and interacting scalar sector stemming from a new class of nonsupersymmetric gauge field theories. These new theories, differently from generic scalar models, are…
When considered in the Palatini formalism, the Starobinsky model does not provide us with a mechanism for inflation due to the absence of a propagating scalar degree of freedom. By (non)--minimally coupling scalar fields to the Starobinsky…
Modular inflation is the restriction to two fields of automorphic inflation, a general group based framework for multifield scalar field theories with curved target spaces, which can be parametrized by the comoving curvature perturbation…
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
The classical derivation of the well-known Vasicek model for interest rates is reformulated in terms of the associated pricing kernel. An advantage of the pricing kernel method is that it allows one to generalize the construction to the…
We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
The slow roll approximation is studied for cosmological models in Hyperextended Scalar-Tensor Theories of Gravity. A procedure to obtain slow roll solutions in non-minimally coupled gravity is outlined and some examples are provided. An…
We provide a lean, non-technical exposition on the pricing of path-dependent and European-style derivatives in the Cox-Ross-Rubinstein (CRR) pricing model. The main tool used in the paper for cleaning up the reasoning is applying static…
In this work, we show the effect of the non-minimal coupling $\xi \phi^2 R$ on the inflationary parameters by considering the single-field inflation and present the inflationary predictions of the appealing potential for the particle…
This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…
The causal compatibility question asks whether a given causal structure graph -- possibly involving latent variables -- constitutes a genuinely plausible causal explanation for a given probability distribution over the graph's observed…