Related papers: Rational Models for Inflation-Linked Derivatives
We explore the possibility of obtaining inflation in weakly coupled heterotic string theory, where the model dependent axions are responsible for driving inflation. This model can be considered as a certain extrapolation of…
Within the framework of metric-affine theories of gravity, where both the metric and connection are treated as independent variables, we consider actions quadratic in the Ricci scalar curvature coupled non-minimally to a scalar field…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
The goal of this paper is to investigate how the marginal and dependence structures of a variety of multivariate L\'evy models affect calibration and pricing. To this aim, we study the approaches of Luciano and Semeraro (2010) and Ballotta…
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…
In this article, we analyze two modeling approaches for the pricing of derivative contracts on a commodity index. The first one is a microscopic approach, where the components of the index are modeled individually, and the index price is…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
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,…
Brane inflation can provide a promissing framework for solving the fine-tuning problem in standard inflationary models. The aim of this paper is to illustrate the mechanism by which this can be achieved. By considering the supersymmetric…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options…
The decoherence of quantum fluctuations into classical perturbations during inflation is discussed. A simple quantum mechanical argument, using a spatial particle wavefunction rather than a field description, shows that observable…
The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of…
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its…
Given data on the choices made by consumers for different offer sets, a key challenge is to develop parsimonious models that describe and predict consumer choice behavior while being amenable to prescriptive tasks such as pricing and…
We show that a non-minimal coupling to gravity can not only make some inflationary models consistent with cosmological data, similar to the case of Higgs inflation, but can also invoke slow-roll violation to realize graceful exit from…
A causal structure is a description of the functional dependencies between random variables. A distribution is compatible with a given causal structure if it can be realized by a process respecting these dependencies. Deciding whether a…
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are…