Related papers: Inflation Models with Correlation and Skew
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using…
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local…
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit…
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be…
The linear and quadratic perturbations for a scalar-tensor model with non-minimal coupling to curvature, coupling to the Gauss-Bonnet invariant and non-minimal kinetic coupling to the Einstein tensor are developed. The quadratic action for…
I discuss folded inflation, an inflationary model embedded in a multi-dimensional scalar potential, such as the stringy landscape. During folded inflation, the field point evolves along a path that turns several corners in the potential.…
In this work we re-investigate pros and cons of mutated hilltop inflation. Applying Hamilton-Jacobi formalism we solve inflationary dynamics and find that inflation goes on along the ${\cal W}_{-1}$ branch of the Lambert function. Depending…
Empirical evidence suggests that there is little to no correlation between the rate of inflation and the size of price change. Economists have hitherto taken this to mean that monetary shocks do not generate much deviation in relative…
We study an inflationary scenario where thermal inflation is followed by fast-roll inflation. This is a rather generic possibility based on the effective potentials of spontaneous symmetry breaking in the context of particle physics models.…
We introduce a frame-covariant formalism for inflation of scalar-curvature theories by adopting a differential geometric approach which treats the scalar fields as coordinates living on a field-space manifold. This ensures that our…
We apply the holographic principle at the early universe, obtaining an inflation realization of holographic origin. Such a consideration has equal footing with its well-studied late-time application, and moreover the decrease of the…
Inflation correlators with massive exchanges are central observables of cosmological collider physics, and are also important theoretical data for us to better understand quantum field theories in dS. However, they are difficult to compute…
It is well known that large Hubble-induced supergravity corrections to the inflaton field can ruin the flatness of the potential, thus creating a tension between slow-roll inflation and supergravity. In this paper we show that it is…
Multifield models of inflation with nonminimal couplings are in excellent agreement with the recent results from {\it Planck}. Across a broad range of couplings and initial conditions, such models evolve along an effectively single-field…
In this thesis we will primarily demonstrate how additional scalar degrees of freedom - which are motivated from many high-energy embeddings - open up new observational windows onto the physics of inflation. We construct a Bayesian…
We study the main properties of the warm inflationary model based on Barrow's solution for the scale factor of the universe. Within this framework we calculate analytically the basic slow roll parameters for different versions of warm…
We propose new versions of the slow-roll approximation for inflationary models with nonminimally coupled scalar fields. We derive more precise expressions for the standard slow-roll parameters as functions of the scalar field. To verify the…
We investigate a standard minimally-coupled scalar-field inflationary scenario, which is based on a new potential, with suitably generalized plateau features, that leads to extra small tensor-to-scalar ratios. In particular, we consider a…
Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed initially in a discrete tenor framework. Interpolating…