Related papers: Rational Models for Inflation-Linked Derivatives
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…
The $\beta$-exponential inflation is driven by a class of primordial potentials, derived in the framework of braneworld scenarios, that generalizes the well-known power law inflation. In this paper we update previous constraints on the…
We find successful models of D-brane/anti-brane inflation within a string context. We work within the GKP-KKLT class of type IIB string vacua for which many moduli are stabilized through fluxes, as recently modified to include `realistic'…
We propose a novel model of inflation based on a large class of covariant effective actions containing only the second derivatives of a scalar field. The initial conditions leading to the inflationary solutions in this model are rather…
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In…
We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\xi} with memory as e.g. a L\'evy semi-stationary process.…
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it…
Observations of the temperature anisotropies in the Cosmic Microwave Background (CMB) radiation show that the models of inflation with the monomial potentials are inconsistent with the allowed $n_s-r$ bounds. However certain monomial…
Warm inflation in the non minimal derivative coupling model with a general dissipation coefficient is considered. We investigate conditions for the existence of the slow roll approximation and study cosmological perturbations. The spectral…
This study extended noncanonical warm inflation to the nonminimal derivative coupling scenario. The fundamental equations, including the evolution equations and the slow roll equations of this new framework, were derived. The enlarged…
We present a high-level framework that explains why, in practice, different pricing models calibrated to the same vanilla surface tend to produce similar valuations for exotic derivatives. Our approach acts as an overlay on the Monte Carlo…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…
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 continue to investigate possible parameter choices for primordial inflation with simple potentials such as power-law and two-term potentials. We examine the amount of parameter tuning to make the slow-roll inflation eternal. In…
We derive the general formulae for the the scalar and tensor spectral tilts to the second order for the inflationary models with non-minimally derivative coupling without taking the high friction limit. The non-minimally kinetic coupling to…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
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…
The problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce…
The LIBOR Market Model (LMM) is a widely used model for pricing interest rate derivatives. While the Black-Scholes model is well-known for pricing stock derivatives such as stock options, a larger portion of derivatives are based on…