We discuss the Taylor rule near low inflation and interest rates. Using an additional option like term in the loss function, our approach extends the simple Taylor rule to one with an asymmetric response near very low inflation rates. Once calibrated, this payoff profile gives an exact, and...

In this paper we consider the problem of the appropriate management fee from the point of view of an investor who has a choice between similar products with different amounts of leverage. The results for fee scaling with leverage are different when the investor chooses to lever himself or has...