Related papers: Inflation Models with Correlation and Skew
We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We construct recursive formula for the coefficients of the Taylor…
The inflationary paradigm is an important cornerstone of the concordance cosmological model. However, standard inflation cannot fully address the transition from an early homogeneous and isotropic stage, to another one lacking such…
Understanding when inflationary perturbations become genuinely nonlinear near the horizon crossing requires methods that go beyond both linear perturbation theory and the gradient expansion. In this work, we introduce a nonlinear lattice…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
Inflation is a highly favoured theory for the early Universe. It is compatible with current observations of the cosmic microwave background and large scale structure and is a driver in the quest to detect primordial gravitational waves. It…
This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…
We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In…
We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the…
We construct an inflation model with inflaton non-minimally coupled to gravity on a warped DGP brane. Using an exponential potential, we calculate scalar power spectrum, spectral index and the running of the spectral index. We show that for…
An axion-like inflaton coupled to non-Abelian gauge bosons provides a compelling microphysical framework for warm inflation. Starting even from cold initial conditions, in these systems, sphaleron heating may generate thermal friction…
A study of the slow-roll inflation for an exponential potential in the frame of the scalar-tensor theory is performed, where non-minimal kinetic coupling to curvature and non-minimal coupling of the scalar field to the Gauss-Bonnet…
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
Dynamical models of inflation are given with composite inflatons by means of massive supersymmetric gauge theory. Nearly flat directions and stable massive ones in the potential are identified and slow-roll during inflation is examined.…