Analysis of Fourier transform valuation formulas and applications

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff function and the process arises naturally. We also extend these results to the multi-dimensional case, and discuss the calculation of Greeks by Fourier transform methods. As an application, we price options on the minimum of two assets in L\'evy and stochastic volatility models.Comment: 26 pages, 3 figures, to appear in Appl. Math. Financ

Stress Tensor Correlators in the Schwinger-Keldysh Formalism

We express stress tensor correlators using the Schwinger-Keldysh formalism. The absence of off-diagonal counterterms in this formalism ensures that the +- and -+ correlators are free of primitive divergences. We use dimensional regularization in position space to explicitly check this at one loop order for a massless scalar on a flat space background. We use the same procedure to show that the ++ correlator contains the divergences first computed by `t Hooft and Veltman for the scalar contribution to the graviton self-energy.Comment: 14 pages, LaTeX 2epsilon, no figures, revised for publicatio

Stochastic Spacetime and Brownian Motion of Test Particles

The operational meaning of spacetime fluctuations is discussed. Classical spacetime geometry can be viewed as encoding the relations between the motions of test particles in the geometry. By analogy, quantum fluctuations of spacetime geometry can be interpreted in terms of the fluctuations of these motions. Thus one can give meaning to spacetime fluctuations in terms of observables which describe the Brownian motion of test particles. We will first discuss some electromagnetic analogies, where quantum fluctuations of the electromagnetic field induce Brownian motion of test particles. We next discuss several explicit examples of Brownian motion caused by a fluctuating gravitational field. These examples include lightcone fluctuations, variations in the flight times of photons through the fluctuating geometry, and fluctuations in the expansion parameter given by a Langevin version of the Raychaudhuri equation. The fluctuations in this parameter lead to variations in the luminosity of sources. Other phenomena which can be linked to spacetime fluctuations are spectral line broadening and angular blurring of distant sources.Comment: 15 pages, 3 figures. Talk given at the 9th Peyresq workshop, June 200

Motion-Induced Radiation from a Dynamically Deforming Mirror

A path integral formulation is developed to study the spectrum of radiation from a perfectly reflecting (conducting) surface. It allows us to study arbitrary deformations in space and time. The spectrum is calculated to second order in the height function. For a harmonic traveling wave on the surface, we find many different regimes in which the radiation is restricted to certain directions. It is shown that high frequency photons are emitted in a beam with relatively low angular dispersion whose direction can be controlled by the mechanical deformations of the plate.Comment: 4 pages, 2 eps figues included, final version as appeared in PR

On the growth of nonuniform lattices in pinched negatively curved manifolds

We study the relation between the exponential growth rate of volume in a pinched negatively curved manifold and the critical exponent of its lattices. These objects have a long and interesting story and are closely related to the geometry and the dynamical properties of the geodesic flow of the manifold

Theory of quantum radiation observed as sonoluminescence

Sonoluminescence is explained in terms of quantum radiation by moving interfaces between media of different polarizability. In a stationary dielectric the zero-point fluctuations of the electromagnetic field excite virtual two-photon states which become real under perturbation due to motion of the dielectric. The sonoluminescent bubble is modelled as an optically empty cavity in a homogeneous dielectric. The problem of the photon emission by a cavity of time-dependent radius is handled in a Hamiltonian formalism which is dealt with perturbatively up to first order in the velocity of the bubble surface over the speed of light. A parameter-dependence of the zero-order Hamiltonian in addition to the first-order perturbation calls for a new perturbative method combining standard perturbation theory with an adiabatic approximation. In this way the transition amplitude from the vacuum into a two-photon state is obtained, and expressions for the single-photon spectrum and the total energy radiated during one flash are given both in full and in the short-wavelengths approximation when the bubble is larger than the wavelengths of the emitted light. It is shown analytically that the spectral density has the same frequency-dependence as black-body radiation; this is purely an effect of correlated quantum fluctuations at zero temperature. The present theory clarifies a number of hitherto unsolved problems and suggests explanations for several more. Possible experiments that discriminate this from other theories of sonoluminescence are proposed.Comment: Latex file, 28 pages, postscript file with 3 figs. attache

Quantum radiation in a plane cavity with moving mirrors

We consider the electromagnetic vacuum field inside a perfect plane cavity with moving mirrors, in the nonrelativistic approximation. We show that low frequency photons are generated in pairs that satisfy simple properties associated to the plane geometry. We calculate the photon generation rates for each polarization as functions of the mechanical frequency by two independent methods: on one hand from the analysis of the boundary conditions for moving mirrors and with the aid of Green functions; and on the other hand by an effective Hamiltonian approach. The angular and frequency spectra are discrete, and emission rates for each allowed angular direction are obtained. We discuss the dependence of the generation rates on the cavity length and show that the effect is enhanced for short cavity lengths. We also compute the dissipative force on the moving mirrors and show that it is related to the total radiated energy as predicted by energy conservation.Comment: 17 pages, 1 figure, published in Physical Review

IgE-Mediated Hypersensitivity Reactions to Cannabis in Laboratory Personnel

Background: There have been sporadic reports of hypersensitivity reactions to plants of the Cannabinaceae family (hemp and hops), but it has remained unclear whether these reactions are immunologic or nonimmunologic in nature. Objective: We examined the IgE-binding and histamine-releasing properties of hashish and marijuana extracts by CAP-FEIA and a basophil histamine release test. Methods: Two workers at a forensic laboratory suffered from nasal congestion, rbinitis, sneezing and asthmatic symptoms upon occupational contact with hashish or marijuana, which they had handled frequently for 25 and 16 years, respectively. Neither patient had a history of atopic disease. Serum was analyzed for specific IgE antibodies to hashish or marijuana extract by research prototype ImmunoCAP, and histamine release from basophils upon exposure to hashish or marijuana extracts was assessed. Results were matched to those of 4 nonatopic and 10 atopic control subjects with no known history of recreational or occupational exposure to marijuana or hashish. Results: Patient 1 had specific IgE to both hashish and marijuana (CAP class 2), and patient 2 to marijuana only (CAP class 2). Controls proved negative for specific IgE except for 2 atopic individuals with CAP class 1 to marijuana and 1 other atopic individual with CAP class 1 to hashish. Stimulation of basophils with hashish or marijuana extracts elicited histamine release from basophils of both patients and 4 atopic control subjects. Conclusions: Our results suggest an IgE-related pathomechanism for hypersensitivity reactions to marijuana or hashish. Copyright (C) 2011 S. Karger AG, Base

LpL^p-Spectral theory of locally symmetric spaces with QQ-rank one

We study the $L^p$-spectrum of the Laplace-Beltrami operator on certain complete locally symmetric spaces $M=\Gamma\backslash X$ with finite volume and arithmetic fundamental group $\Gamma$ whose universal covering $X$ is a symmetric space of non-compact type. We also show, how the obtained results for locally symmetric spaces can be generalized to manifolds with cusps of rank one

Dynamical Casimir effect without boundary conditions

The moving-mirror problem is microscopically formulated without invoking the external boundary conditions. The moving mirrors are described by the quantized matter field interacting with the photon field, forming dynamical cavity polaritons: photons in the cavity are dressed by electrons in the moving mirrors. The effective Hamiltonian for the polariton is derived, and corrections to the results based on the external boundary conditions are discussed.Comment: 12 pages, 2 figure