Related papers: Rational Kernel on Pricing Models of Inflation Der…
In this work, we systematically present a new dynamical systems approach to standard inflationary processes and their variants as constant-roll inflation. Using the techniques presented in our work one can in general investigate 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…
The paper reviews origins of the approach to pricing derivatives post-crisis by following three papers that have received wide acceptance from practitioners as the theoretical foundations for it - [Piterbarg 2010], [Burgard and Kjaer 2010]…
Following the 2015 Planck release, we briefly comment on the status and some ongoing opportunities in the interface between inflationary cosmology, string theory, and CMB data. The constraints in the $r$-$n_s$ plane introduce a new…
In this paper, we study a realistic model of quintessential inflation with radiation and matter. By the analysis of the dynamical system and numerical work about the evolution of the equation of state and cosmic density parameter, we show…
In this talk we describe recent progress in construction of inflationary models in the context of string theory with flux compactification and moduli stabilization. We also discuss a possibility to test string theory by cosmological…
In this Thesis by publication, we cover both phenomenological and theoretical approaches to the study of inflation: from model-independent parametrizations to modifications of gravity. In a review style, we provide a short introduction to…
A natural combination of the first and second derivatives of the scalar potential was achieved in a framework of an alternative refined de Sitter conjecture recently proposed in the literature. In this work, we study various inflation…
I review various aspects of techniques for reconstructing the potential of the inflaton field from observations, with special emphasis on difficulties which might arise. While my view is that if inflation is to prove viable then most likely…
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how…
These lecture notes provide a comprehensive introduction to Quantitative Methods in Finance (QMF), designed for graduate students in finance and economics with heterogeneous programming backgrounds. The material develops a unified toolkit…
This PhD Thesis presents an investigation into the analysis of financial returns using mixture models, focusing on mixtures of generalized normal distributions (MGND) and their extensions. The study addresses several critical issues…
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…
We argue about the importance of embedding the successful mechanism of Inflation in the context of a fundamental theory. We review some of the attempts in this direction made in the framework of String Theory. In particular we report on…
This article aims to present an elementary analytical solution to the question of the formation of a structure of differentiation of rates of return in a classical gravitation model and in a model of the dynamics of price-wage spirals.
We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to any prespecified factor-model. An asymptotic solution to…
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'…
Substitute relationships are fundamental to people's daily lives across various domains. This study aims to comprehend and predict substitute relationships among products in diverse fields, extensively analyzing the application of machine…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
Recent large scale structure observations, including COBE, have prompted many authors to discuss modifications of the standard Cold Dark Matter model. Two of these, a tilted spectrum and a gravitational wave contribution to COBE, are at…