Related papers: Explicit Consumption Functions with Borrowing Cons…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
New exact inflationary solutions are presented in the scalar field theory, minimally coupled to gravity, with a potential term. No use is made of the slow rollover approximation. The scale factors are completely nonsingular and the…
We introduce a novel correlation, $n_s$ - $\Delta N$, connecting CMB parameters to the required total e-folds for eternal inflation. This correlation provides a robust tool for evaluating eternal (string) inflation models using CMB data and…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly depends on her wealth. It is a stochastic control problem with…
There is an apparent power deficit relative to the $\Lambda$CDM prediction of the CMB spectrum at large scales, which, though not yet statistically significant, persists from WMAP to Planck data. Proposals that invoke some form of initial…
The positive potential energy required for inflation spontaneously breaks supersymmetry and in general gives any would-be inflaton an effective mass of order the inflationary Hubble parameter thus ruling it out as an inflaton. In this paper…
Submodular functions are well-studied in combinatorial optimization, game theory and economics. The natural diminishing returns property makes them suitable for many applications. We study an extension of monotone submodular functions,…
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 adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
In this paper, existence of a strong global solution for all finite time is derived for the Kirchhoff's model of parabolic type. Based on exponential weight function, some new regularity results which reflect the exponential decay property…
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of $N$ caped (and probably floored) returns. It is noticed,…
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…
This paper develops a method for obtaining guaranteed outer approximations for global attractors of continuous and discrete time nonlinear dynamical systems. The method is based on a hierarchy of semidefinite programming problems of…
Soft extrapolation refers to the problem of recovering a function from its samples, multiplied by a fast-decaying window and perturbed by an additive noise, over an interval which is potentially larger than the essential support of the…
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…
Borrowing constraints are a key component of modern international macroeconomic models. The analysis of Emerging Markets (EM) economies generally assumes collateral borrowing constraints, i.e., firms access to debt is constrained by the…
The parameter space for A-term inflation is explored with $W=\lambda_p \phi^p/(p M_P^{p-3})$. With p=6 and \lambda_p~1, the observed spectrum and spectral tilt can be obtained with soft mass of order 10^2 GeV but not with a much higher…
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…
Submodular extensions of an energy function can be used to efficiently compute approximate marginals via variational inference. The accuracy of the marginals depends crucially on the quality of the submodular extension. To identify the best…