Related papers: Rational Models for Inflation-Linked Derivatives
Mathematical modelling is ubiquitous in the financial industry and drives key decision processes. Any given model provides only a crude approximation to reality and the risk of using an inadequate model is hard to detect and quantify. By…
We study models of modular inflation of the form expected to arise from low energy effective actions of superstring theories. We argue on general grounds that the most likely models of modular slow-roll inflation are small field models in…
We introduce the framework of modular inflation with level structure, generalizing the level one theory considered previously to higher levels. We analyze the modular structure of CMB observables in this framework and show that the…
Most models of inflation have small parameters, either to guarantee sufficient inflation or the correct magnitude of the density perturbations. In this paper we show that, in supersymmetric theories with weak scale supersymmetry breaking,…
This paper introduces a new approach for estimating core inflation indicators based on common factors across a broad range of price indices. Specifically, by utilizing procedures for detecting multiple regimes in high-dimensional factor…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting…
Natural supergravity models of new inflation are reconsidered as minimal inflationary models within slow-roll approximation. Their running spectral index is derived in a revised form with recent observational results and future refinements…
We investigate the cosmic inflation within a class of the scalar-tensor model with the scalar-dependent non-minimal kinetic couplings. The inflationary dynamical potential will be applied. Using the slow-roll approximation, we compute…
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
The minimal warm inflation model was constructed as a warm inflation setup with direct interaction between inflaton and (non-Abelian) gauge fields. The model was shown to be compatible with observation for some forms of potential. As a…
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter…
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are…
We consider a financial market in which the short rate is modeled by a continuous time Markov chain (CTMC) with a finite state space. In this setting, we show how to price any financial derivative whose payoff is a function of the state of…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parameterisations for trading…
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…
We present a model predictive control (MPC) formulation to directly optimize economic criteria for linear constrained systems subject to disturbances and uncertain model parameters. The proposed formulation combines a certainty equivalent…
We compute corrections to the inflationary potential due to conformally coupled non-relativistic matter. We find that under certain conditions of the matter coupling, inflation may be interrupted abruptly. We display this in the…
We study the inflation scenario with the non-minimally derivative coupling $XR^{(3)}$, where $X=\nabla_\mu\phi \nabla^\mu\phi$, $\phi$ is the inflaton and $R^{(3)}$ is the 3-dimensional intrinsic Ricci scalar on the spacelike hypersurface,…