Related papers: Inflation Models with Correlation and Skew

The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…

We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…

Keen's model describes the dynamics between wage share, employment rate and debt ratio. In literature, the model was extended to represent the effects of inflation and also the speculative money flow. Based on the inflationary model, we…

We revisit an extension of the well-known formalism for gauge-invariant scalar metric fluctuations, to study the spectrums for both, the inflaton and gauge invariant (scalar) metric fluctuations in the framework of a single field…

Claim frequency data in insurance records the number of claims on insurance policies during a finite period of time. Given that insurance companies operate with multiple lines of insurance business where the claim frequencies on different…

This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…

We present a unified framework that simultaneously addresses the dynamics of early-time cosmic inflation and late-time cosmic acceleration within the context of a single scalar field non-minimally coupled to gravity. By employing an…

We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrated model which is the closest, in a way that can be defined…

The newly released Planck CMB data place tight constraints on slow-roll inflationary models. Some of commonly discussed inflationary potentials are disfavored due mainly to the large tensor-to-scalar ratio. In this paper we show that these…

We demonstrate the existence of a secular back-reaction on inflation using a simple scalar model. The model consists of a massless, minimally coupled scalar with a quartic self-interaction which is a spectator to $\Lambda$-driven inflation.…

It is usually supposed that inflation is of the slow-roll variety, and that the inflaton generates the primordial curvature perturbation. According to the curvaton hypothesis, inflation need not be slow-roll, and if it is the inflaton…

We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…

Inspired by the Generalized Proca Theory, we study a vector-tensor model of inflation with massive vector fields and derivative self-interactions. The action under consideration contains a usual Maxwell-like kinetic term, a general…

In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string…

This paper investigates the high-dimensional linear regression with highly correlated covariates. In this setup, the traditional sparsity assumption on the regression coefficients often fails to hold, and consequently many model selection…

We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock…

We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied…

Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts…

The topic of this talk is a new inflationary model in the context of Type IIB string compactifications called Loop Blow-Up Inflation, presented in arXiv:2403.04831. The original Blow-Up Inflation model, whose potential was purely…