Dam Rain and Cumulative Gain

We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the determination of optimal insurance claims reserve policies, and in the pricing of reinsurance contracts. In the insurance setting, the aggregate claims play the role of the cumulative gains, and the terminal cash flow represents the totality of the claims payable for the given accounting period. A similar example arises when we consider the accumulation of losses in a credit portfolio, and value a contract that pays an amount equal to the totality of the losses over a given time interval. An explicit expression for the value process is obtained. The price of an Arrow-Debreu security on the cumulative gains process is determined, and is used to obtain a closed-form expression for the price of a European-style option on the value of the asset. The results obtained make use of various remarkable properties of the gamma bridge process, and are applicable to a wide variety of financial products based on cumulative gains processes such as aggregate claims, credit portfolio losses, defined-benefit pension schemes, emissions, and rainfall.Comment: 25 Pages, 1 Figur

General scalar products in the arbitrary six-vertex model

In this work we use the algebraic Bethe ansatz to derive the general scalar product in the six-vertex model for generic Boltzmann weights. We performed this calculation using only the unitarity property, the Yang-Baxter algebra and the Yang-Baxter equation. We have derived a recurrence relation for the scalar product. The solution of this relation was written in terms of the domain wall partition functions. By its turn, these partition functions were also obtained for generic Boltzmann weights, which provided us with an explicit expression for the general scalar product.Comment: 24 page

Bethe Ansatz Equations for the Broken ZNZ_{N}-Symmetric Model

We obtain the Bethe Ansatz equations for the broken ${\bf Z}_{N}$-symmetric model by constructing a functional relation of the transfer matrix of $L$-operators. This model is an elliptic off-critical extension of the Fateev-Zamolodchikov model. We calculate the free energy of this model on the basis of the string hypothesis.Comment: 43 pages, latex, 11 figure

Analyticity and Integrabiity in the Chiral Potts Model

We study the perturbation theory for the general non-integrable chiral Potts model depending on two chiral angles and a strength parameter and show how the analyticity of the ground state energy and correlation functions dramatically increases when the angles and the strength parameter satisfy the integrability condition. We further specialize to the superintegrable case and verify that a sum rule is obeyed.Comment: 31 pages in harvmac including 9 tables, several misprints eliminate

Fundamental-measure density functional for the fluid of aligned hard hexagons: New insights in fundamental measure theory

In this article we obtain a fundamental measure functional for the model of aligned hard hexagons in the plane. Our aim is not just to provide a functional for a new, admittedly academic, model, but to investigate the structure of fundamental measure theory. A model of aligned hard hexagons has similarities with the hard disk model. Both share "lost cases", i.e. admit configurations of three particles in which there is pairwise overlap but not triple overlap. These configurations are known to be problematic for fundamental measure functionals, which are not able to capture their contribution correctly. This failure lies in the inability of these functionals to yield a correct low density limit of the third order direct correlation function. Here we derive the functional by projecting aligned hard cubes on the plane x+y+z=0. The correct dimensional crossover behavior of these functionals permits us to follow this strategy. The functional of aligned hard cubes, however, does not have lost cases, so neither had the resulting functional for aligned hard hexagons. The latter exhibits, in fact, a peculiar structure as compared to the one for hard disks. It depends on a uniparametric family of weighted densities through a new term not appearing in the functional for hard disks. Apart from studying the freezing of this system, we discuss the implications of the functional structure for new developments of fundamental measure theory.Comment: 10 pages, 9 figures, uses RevTeX

Construction of some missing eigenvectors of the XYZ spin chain at the discrete coupling constants and the exponentially large spectral degeneracy of the transfer matrix

We discuss an algebraic method for constructing eigenvectors of the transfer matrix of the eight vertex model at the discrete coupling parameters. We consider the algebraic Bethe ansatz of the elliptic quantum group $E_{\tau, \eta}(sl_2)$ for the case where the parameter $\eta$ satisfies $2 N \eta = m_1 + m_2 \tau$ for arbitrary integers $N$, $m_1$ and $m_2$. When $m_1$ or $m_2$ is odd, the eigenvectors thus obtained have not been discussed previously. Furthermore, we construct a family of degenerate eigenvectors of the XYZ spin chain, some of which are shown to be related to the $sl_2$ loop algebra symmetry of the XXZ spin chain. We show that the dimension of some degenerate eigenspace of the XYZ spin chain on $L$ sites is given by $N 2^{L/N}$, if $L/N$ is an even integer. The construction of eigenvectors of the transfer matrices of some related IRF models is also discussed.Comment: 19 pages, no figure (revisd version with three appendices

Quantum channels in random spin chains

We study the entanglement between pairs of qubits in a random antiferromagnetic spin-1/2 chain at zero temperature. We show that some very distant pairs of qubits are highly entangled, being almost pure Bell states. Furthermore, the probability to obtain such spin pairs is proportional to the chain disorder strenght and inversely proportional to the square of their separation.Comment: v1: 4 pages, 2 eps figures; v2: discussion about the effect of temperature added, v3: 1 eps figure added, enlarged discussions, 6 pages, published versio

Integrable lattices and their sublattices II. From the B-quadrilateral lattice to the self-adjoint schemes on the triangular and the honeycomb lattices

An integrable self-adjoint 7-point scheme on the triangular lattice and an integrable self-adjoint scheme on the honeycomb lattice are studied using the sublattice approach. The star-triangle relation between these systems is introduced, and the Darboux transformations for both linear problems from the Moutard transformation of the B-(Moutard) quadrilateral lattice are obtained. A geometric interpretation of the Laplace transformations of the self-adjoint 7-point scheme is given and the corresponding novel integrable discrete 3D system is constructed.Comment: 15 pages, 6 figures; references added, some typos correcte

Star-Triangle Relation for a Three Dimensional Model

The solvable $sl(n)$-chiral Potts model can be interpreted as a three-dimensional lattice model with local interactions. To within a minor modification of the boundary conditions it is an Ising type model on the body centered cubic lattice with two- and three-spin interactions. The corresponding local Boltzmann weights obey a number of simple relations, including a restricted star-triangle relation, which is a modified version of the well-known star-triangle relation appearing in two-dimensional models. We show that these relations lead to remarkable symmetry properties of the Boltzmann weight function of an elementary cube of the lattice, related to spatial symmetry group of the cubic lattice. These symmetry properties allow one to prove the commutativity of the row-to-row transfer matrices, bypassing the tetrahedron relation. The partition function per site for the infinite lattice is calculated exactly.Comment: 20 pages, plain TeX, 3 figures, SMS-079-92/MRR-020-92. (corrupted figures replaced

Double Potts chain and exact results for some two-dimensional models

A closed-form exact analytical solution for the q-state Potts model on a ladder 2 x oo with arbitrary two-, three-, and four-site interactions in a unit cell is presented. Using the obtained solution it is shown that the finite-size internal energy equation yields an accurate value of the critical temperature for the triangular Potts lattice with three-site interactions in alternate triangular faces. It is argued that the above equation is exact at least for self-dual models on isotropic lattices.Comment: 13 pages in latex and 2 ps figures. preprint ICTP IC/2000/176; ZhETF 120 (2001) (in press