Related papers: Inflation Models with Correlation and Skew

We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…

We consider inflationary models with the inflaton coupled to the Gauss-Bonnet term assuming a special relation $\delta_1=2\lambda\epsilon_1$ between the two slow-roll parameters $\delta_1$ and $\epsilon_1$. For the slow-roll inflation, the…

We investigate the predictions of inflation models with a non-minimal coupling to gravity for inflationary observables such as the spectral index and tensor-to-scalar ratio in a general setting. We argue that, depending on the relation…

If a coupling between the inflaton and the Gauss-Bonnet term is introduced, many models of inflation that were ruled out by the most recent Planck data can be made viable again. The predictions for the scalar spectral index and…

Especially in the insurance industry interest rate models play a crucial role e.g. to calculate the insurance company's liabilities, performance scenarios or risk measures. A prominant candidate is the 2-Additive-Factor Gaussian Model…

It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…

We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…

In the framework of gravitational models obtained from the Geometric Inflation's proposal, where an infinite tower of curvature scalars are included into the action, we compute the slow-roll parameters by the Hubble slow-roll approach. We…

The problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce…

Ideally, all analyses of normally distributed data should include the full covariance information between all data points. In practice, the full covariance matrix between all data points is not always available. Either because a result was…

In this paper we show that the dynamics associated with slow-roll models of inflation can be investigated through a method called deformation procedure. Using the latter, we explicitly derive an expression linking two slow-roll inflationary…

We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long…

We develop a frame-covariant formulation of inflation in the slow-roll approximation by generalizing the inflationary attractor solution for scalar-curvature theories. Our formulation gives rise to new generalized forms for the potential…

A relation between interest rates and inflation is presented using a two component economic model and a simple general principle. Preliminary results indicate a remarkable similarity to classical economic theories, in particular that of…

The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…

A model of natural inflation with an effectively trans-Planckian decay constant can be easily achieved by the "phase locking" mechanism while keeping field values in the effective field theory within the Planck scale. We give detailed…

This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…

We consider the non-supersymmetric models of chaotic (driven by a quadratic potential) and hybrid inflation, taking into account the minimal possible radiative corrections to the inflationary potential. We show that two simple coupling…

We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss…

This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…