Related papers: Inflation Models with Correlation and Skew
Usual inflation is realized with a slow rolling scalar field minimally coupled to gravity. In contrast, we consider dynamics of a scalar with a flat effective potential, conformally coupled to gravity. Surprisingly, it contains an attractor…
We investigate the recently proposed clockwork mechanism delivering light degrees of freedom with suppressed interactions and show, with various examples, that it can be efficiently implemented in inflationary scenarios to generate flat…
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…
We propose a general inverse formula for extracting inflationary parameters from the observed power spectrum of cosmological perturbations. Under the general slow-roll scheme, which helps to probe the properties of inflation in a model…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
We construct explicit models of multi-field inflation in which the primordial metric fluctuations do not necessarily obey Gaussian statistics. These models are realizations of mechanisms in which non-Gaussianity is first generated by a…
We review the main aspects of the warm inflation scenario, focusing on the inflationary dynamics and the predictions related to the primordial spectrum of perturbations, to be compared with the recent cosmological observations. We study in…
We investigate models in which the inflaton emerges as a composite field of a four dimensional, strongly interacting and nonsupersymmetric gauge theory featuring purely fermionic matter. We show that it is possible to obtain successful…
Slow-roll inflation generically makes several predictions: a flat Universe, primordial adiabatic density perturbations, and a stochastic gravity-wave background. Each inflation model will further predict specific relations between the…
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model…
We construct a natural inflation model with the inflaton as a linear combination of the fifth components of Abelian gauge fields in a five-dimensional theory. A seesaw mechanism is introduced to provide a natural milli-charge for matter…
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market conditions to the present one. The…
A linear and lagged relationship between inflation and labor force change rate, p(t)= A1dLF(t-t1)/LF(t-t1)+A2 was found for developed economies. For the USA, A1=4.0, A2=-0.03075, and t1=2 years. It provides a RMS forecasting error (RMFSE)…
In this paper we investigate the general features of "Oscillatory Inflation". In adiabatic approximation, we derive a general formula for the number of e-foldings $\tilde{N}$ which reduces to the standard expression in case of the slow role…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
In energy markets, joint historical and implied calibration is of paramount importance for practitioners, yet notoriously challenging due to the need to align historical correlations of futures contracts with implied volatility smiles from…
We study the structure of two-point correlators of the inflationary field fluctuations in order to improve the accuracy and efficiency of the existing methods to calculate primordial spectra. We present a description motivated by the…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
There has been much recent discussion, and some confusion, regarding the use of existing observational data to estimate the likelihood that next-generation cosmic microwave background (CMB) polarization experiments might detect a nonzero…