Hedging in Field Theory Models of the Term Structure

We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model which parsimoniously describes the evolution of imperfectly correlated forward rates. We also calculate, within the model specification, the effectiveness of hedging over finite periods of time. We use empirical estimates for the parameters of the model to show that a low dimensional hedge portfolio is quite effective.Comment: 18 figures, Invited Talk, International Econophysics Conference, Bali, 28-31 August 200

Entropy and Uncertainty of Squeezed Quantum Open Systems

We define the entropy S and uncertainty function of a squeezed system interacting with a thermal bath, and study how they change in time by following the evolution of the reduced density matrix in the influence functional formalism. As examples, we calculate the entropy of two exactly solvable squeezed systems: an inverted harmonic oscillator and a scalar field mode evolving in an inflationary universe. For the inverted oscillator with weak coupling to the bath, at both high and low temperatures, $S\to r$, where r is the squeeze parameter. In the de Sitter case, at high temperatures, $S\to (1-c)r$ where $c = \gamma_0/H$, $\gamma_0$ being the coupling to the bath and H the Hubble constant. These three cases confirm previous results based on more ad hoc prescriptions for calculating entropy. But at low temperatures, the de Sitter entropy $S\to (1/2-c)r$ is noticeably different. This result, obtained from a more rigorous approach, shows that factors usually ignored by the conventional approaches, i.e., the nature of the environment and the coupling strength betwen the system and the environment, are important.Comment: 36 pages, epsfig, 2 in-text figures include

Thermal Particle Creation in Cosmological Spacetimes: A Stochastic Approach

The stochastic method based on the influence functional formalism introduced in an earlier paper to treat particle creation in near-uniformly accelerated detectors and collapsing masses is applied here to treat thermal and near-thermal radiance in certain types of cosmological expansions. It is indicated how the appearance of thermal radiance in different cosmological spacetimes and in the two apparently distinct classes of black hole and cosmological spacetimes can be understood under a unifying conceptual and methodological framework.Comment: 17 pages, revtex (aps, eqsecnum), submitted to PRD, April 199

A New Theory of Stochastic Inflation

The stochastic inflation program is a framework for understanding the dynamics of a quantum scalar field driving an inflationary phase. Though widely used and accepted, there have over recent years been serious criticisms of this theory. In this paper I will present a new theory of stochastic inflation which avoids the problems of the conventional approach. Specifically, the theory can address the quantum-to-classical transition problem, and it will be shown to lead to a dramatic easing of the fine tuning constraints that have plagued inflation theories.Comment: 28 pages in latex (uses revtex), no figures. Changes include 3 pages of extra detail in the derivation of the noise and dissipation kernels, and a more careful description of the approximations made. Results remain unchange