Related papers: Inflation Models with Correlation and Skew
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
We introduce a simple string model of inflation, in which the inflaton field can take trans-Planckian values while driving a period of slow-roll inflation. This leads naturally to a realisation of large field inflation, inasmuch as the…
We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This framework unifies various well-known Markovian and non-Markovian…
Here we demonstrate how we can use Small Volatility Approximation in calibration of Multi-Factor HJM model with deterministic correlations, factor volatilities and mean reversals. It is noticed that quality of this calibration is very good…
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…
Picking out DBI scalar field as inflation, the slow-rolling inflationary scenario is studied by attributing an exponential time function to scale factor; known as intermediate inflation. The perturbation parameters of the model are…
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic.…
We argue, using a phenomenological holographic approach, that walking, strongly coupled gauge theories generate a suitable potential for a small field inflation model. We show that the effective description is a model of a single inflaton.…
In the general framework of Metric-Affine theories of gravity, where the metric and the connection are independent variables, we consider actions quadratic in the Ricci scalar curvature and the Holst invariant (the contraction of the…
Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.
We propose a novel mechanism for realizing slow-roll inflation that is fully consistent with observational data, based on conformal transformations acting exclusively on a complex scalar field -- without coupling to the gravitational…
The spectrum of primordial fluctuations from inflation can be obtained using a mathematically controlled, and systematically extendable, uniform approximation. Closed-form expressions for power spectra and spectral indices may be found…
A thorough MCMC analysis of any inflationary model against the current cosmological data is essential for assessing the validity of such a model as a viable inflationary model. Warm Inflation, producing both thermal and quantum…
We present the first calculation of the Bayesian evidence for different prototypical single field inflationary scenarios, including representative classes of small field and large field models. This approach allows us to compare…
In construction of an inflationary model, one usually assumes that the matter sector of the gravitational action is minimally coupled to the background. It means that the matter (inflaton) part of the action is coupled with the same metric…
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numeraire process and…
Inflation in the framework of $f(R)$ modified gravity is revisited. We study the conditions that $f(R)$ should satisfy in order to lead to a viable inflationary model in the original form and in the Einstein frame. Based on these criteria…
We use cosmic microwave background and large scale structure data to test a broad and physically well-motivated class of inflationary models: those with flat tree-level potentials (typical in supersymmetry). The non-trivial features of the…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…