Related papers: Rational Models for Inflation-Linked Derivatives
Natural inflation is an attractive model for primordial inflation, since the potential for the inflaton is of the pseudo Nambu-Goldstone form, $V(\phi)=\Lambda^4 [1+\cos (\phi/f)]$, and so is protected against radiative corrections.…
We consider the possibility that higher-curvature corrections could drive inflation after the compactification to four dimensions. Assuming that the low-energy limit of the fundamental theory is eleven-dimensional supergravity to the lowest…
In this work, we revisit the Witten-O'Raifeartaigh model of inflation, in which the potential takes a $\operatorname{log}^2(\phi/M)$ form, when the scalar field is non-minimally coupled to gravity. We investigate the impact of the coupling…
This paper introduces the class of volatility modulated L\'{e}vy-driven Volterra (VMLV) processes and their important subclass of L\'{e}vy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main…
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
We introduce inflationary models where the inflaton features a field dependent non-minimal derivative coupling to the Einstein tensor, that we name GNMDC. This Horndeski term gives new and distinguishable inflationary predictions in a…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
Recently we identified a new class of (super)conformally invariant theories which allow inflation even if the scalar potential is very steep in terms of the original conformal variables. Observational predictions of a broad class of such…
We describe the general inflationary dynamics that can arise with a single, canonically coupled field where the inflaton potential is a 4-th order polynomial. This scenario yields a wide range of combinations of the empirical spectral…
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and…
We study a class of generalized inflation models in which the inflaton is coupled to the Ricci scalar by a general $f(\phi, R)$ term. The scalar power spectrum, the spectral index, the running of the spectral index, the tensor mode spectrum…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
Methodologies to infer financial networks from the price series of speculative assets vary, however, they generally involve bivariate or multivariate predictive modelling to reveal causal and correlational structures within the time series…
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
It is usually supposed that inflation is of the slow-roll variety, and that the inflaton generates the primordial curvature perturbation. According to the curvaton hypothesis, inflation need not be slow-roll, and if it is the inflaton…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
We introduce normalized nonnegative models (NNM) for explorative data analysis. NNMs are partial convexifications of models from probability theory. We demonstrate their value at the example of item recommendation. We show that NNM-based…