相关论文: Social Discounting and the Long Rate of Interest

We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with bounded risk" (NUPBR) in one-dimensional general diffusion…

We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…

Compound interest as well as inflation grows exponentially with time, whereas other means to repay debt grow polynomially. For this and other, mostly political, reasons, debt without inflation is unsustainable. We suggest a discontinuous…

A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…

Inflation is part of the Standard Model of the Universe supported by CMB and large scale structure LSS datasets. This review presents new developments of inflation in three main chapters. (I): The effective theory of inflation a la…

With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…

This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…

We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…

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…

Information discounting plays an important role in the theory of belief functions and, generally, in information fusion. Nevertheless, neither classical uniform discounting nor contextual cannot model certain use cases, notably temporal…

We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We…

Finding conditions ensuring consensus, i.e. convergence to a common value, for a networked system is of crucial interest, both for theoretical reasons and applications. This goal is harder to achieve when connections between agents are…

We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly…

We consider the statistical irreversibility and its compatibility with the reversible dynamics. The role played by the observation is analyzed in detail. It makes our previous proof for the second law of thermodynamics clearer. On this…

We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using…

Incentives have surprisingly inconsistent effects when it comes to encouraging people to behave prosocially. Classical economic theory, according to which a specific behavior becomes more prevalent when it is rewarded, struggles to explain…

We consider a Markovian single server queue with impatient customers. There is a customer abandonment cost and a holding cost for customers in the system. We consider two versions of the problem. In the first version, customers pay a reward…

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by…