Related papers: Rational Models for Inflation-Linked Derivatives

We examine extended inflation models enhanced by the addition of a coupling between the inflaton field and the space-time curvature. We examine two types of model, where the underlying inflaton potential takes on second-order and…

A reformulation of inflationary model analyses appeared recently, in which inflationary observables are determined by the structure of a pole in the inflaton kinetic term rather than the shape of the inflaton potential. We comprehensively…

We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models…

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between…

Justification logics are modal-like logics that provide a framework for reasoning about justifications. This paper introduces labeled sequent calculi for justification logics, as well as for hybrid modal-justification logics. Using the…

There are many studies on development of models for analyzing some derivatives such as credit default swaps .

We revisit arguments that simple models of inflation with a small red tilt in the scalar power spectrum generically yield an observable tensor spectrum. We show that criteria for fine-tuning based upon the algebraic simplicity of the…

We present a hierarchical architecture based on Recurrent Neural Networks (RNNs) for predicting disaggregated inflation components of the Consumer Price Index (CPI). While the majority of existing research is focused mainly on predicting…

We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where…

We review the connection between inflationary models and observations and concentrate to describe models based on softly broken supersymmetry, in particular running mass models, and their predictions. We then present a fit of the spectral…

In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting…

The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…

Dynamic pricing is both an opportunity and a challenge to the demand side. It is an opportunity as it better reflects the real time market conditions and hence enables an active demand side. However, demand's active participation does not…

This paper develops a model-free framework for static fixed-income pricing and the replication of liability cash flows. We show that the absence of static arbitrage across a universe of fixed-income instruments is equivalent to the…

In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be…

We describe a model of a communication network that allows us to price complex network services as financial derivative contracts based on the spot price of the capacity in individual routers. We prove a theorem of a Girsanov transform that…

The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move beyond the class of convex risk measures considered in…

The classical approach to multivariate extreme value modelling assumes that the joint distribution belongs to a multivariate domain of attraction. This requires each marginal distribution be individually attracted to a univariate extreme…

Some consumers, particularly households, are unwilling to face volatile electricity prices, and they can perceive as unfair price differentiation in the same local area. For these reasons, nodal prices in distribution networks are rarely…

We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be imposed on the decay kernel so that the model admits…