Related papers: Inflation Models with Correlation and Skew

We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We…

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…

We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of flexibility of our approach is a nonparametric observation…

In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the…

This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…

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…

The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility calibration of the entire swaption matrix, and the…

We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…

In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…

We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at the standard maturities. While the model can be calibrated…

Recently, a model of inflation using non-minimally coupled massive vector fields has been proposed. For a particular choice of non-minimal coupling parameter and for a flat FRW model, the model is reduced to the model of chaotic inflation…

We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…

Slow-roll inflation is a successful paradigm. However we find that even a small coupling of the inflaton to other light fields can dramatically alter the dynamics and predictions of inflation. As an example, the inflaton can generically…

The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…

Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…

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…

In this work, we study inflation in a particular scalar-vector-tensor theory of gravitation without the $U(1)$ gauge symmetry. The model is constructed from the more general action introduced in Heisenberg et al. (Phys Rev D 98:024038,…

We construct a no-scale model of inflation with a single modulus whose real and imaginary parts are fixed by simple power-law corrections to the no-scale K{\" a}hler potential. Assuming an uplift of the minimum of the effective potential,…

We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…

This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…