Multivariate option pricing with time varying volatility and correlations

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option prices are estimated with errors. Finally, we show that when neglecting the non-Gaussian features of the data, option prices are also estimated with large errors.multivariate risk premia, option pricing, GARCH models

A solvable model of a one-dimensional quantum gas with pair interaction

We propose a solvable model of a one-dimensional harmonic oscillator quantum gas of two sorts of particles, fermions or bosons, which allows to describe the formation of pairs due to a suitable pair interaction. These pairs we call "pseudo-bosons" since the system can be approximated by an ideal bose gas for low temperatures. We illustrate this fact by considering the specific heat and the entropy function for N=8 pairs. The model can also be evaluated in the thermodynamic limit if the harmonic oscillator potential is suitable scaled

Bosons Confined in Optical Lattices: the Numerical Renormalization Group revisited

A Bose-Hubbard model, describing bosons in a harmonic trap with a superimposed optical lattice, is studied using a fast and accurate variational technique (MF+NRG): the Gutzwiller mean-field (MF) ansatz is combined with a Numerical Renormalization Group (NRG) procedure in order to improve on both. Results are presented for one, two and three dimensions, with particular attention to the experimentally accessible momentum distribution and possible satellite peaks in this distribution. In one dimension, a comparison is made with exact results obtained using Stochastich Series Expansion.Comment: 10 pages, 15 figure

Integrable two-channel p_x+ip_y-wave superfluid model

We present a new two-channel integrable model describing a system of spinless fermions interacting through a p-wave Feshbach resonance. Unlike the BCS-BEC crossover of the s-wave case, the p-wave model has a third order quantum phase transition. The critical point coincides with the deconfinement of a single molecule within a BEC of bound dipolar molecules. The exact many-body wavefunction provides a unique perspective of the quantum critical region suggesting that the size of the condensate wavefunction, that diverges logarithmically with the chemical potential, could be used as an experimental indicator of the phase transition.Comment: 4 pages, 4 figure

Maximum occupation number for composite boson states

One of the major differences between fermions and bosons is that fermionic states have a maximum occupation number of one, whereas the occupation number for bosonic states is in principle unlimited. For bosons that are made up of fermions, one could ask the question to what extent the Pauli principle for the constituent fermions would limit the boson occupation number. Intuitively one can expect the maximum occupation number to be proportional to the available volume for the bosons divided by the volume occupied by the fermions inside one boson, though a rigorous derivation of this result has not been given before. In this letter we show how the maximum occupation number can be calculated from the ground-state energy of a fermionic generalized pairing problem. A very accurate analytical estimate of this eigenvalue is derived. From that a general expression is obtained for the maximum occupation number of a composite boson state, based solely on the intrinsic fermionic structure of the bosons. The consequences for Bose-Einstein condensates of excitons in semiconductors and ultra cold trapped atoms are discussed.Comment: 4 pages, Revte

Ultracold atoms in one-dimensional optical lattices approaching the Tonks-Girardeau regime

Recent experiments on ultracold atomic alkali gases in a one-dimensional optical lattice have demonstrated the transition from a gas of soft-core bosons to a Tonks-Girardeau gas in the hard-core limit, where one-dimensional bosons behave like fermions in many respects. We have studied the underlying many-body physics through numerical simulations which accommodate both the soft-core and hard-core limits in one single framework. We find that the Tonks-Girardeau gas is reached only at the strongest optical lattice potentials. Results for slightly higher densities, where the gas develops a Mott-like phase already at weaker optical lattice potentials, show that these Mott-like short range correlations do not enhance the convergence to the hard-core limit.Comment: 4 pages, 3 figures, replaced with published versio

Integrable models for asymmetric Fermi superfluids: Emergence of a new exotic pairing phase

We introduce an exactly-solvable model to study the competition between the Larkin-Ovchinnikov-Fulde-Ferrell (LOFF) and breached-pair superfluid in strongly interacting ultracold asymmetric Fermi gases. One can thus investigate homogeneous and inhomogeneous states on an equal footing and establish the quantum phase diagram. For certain values of the filling and the interaction strength, the model exhibits a new stable exotic pairing phase which combines an inhomogeneous state with an interior gap to pair-excitations. It is proven that this phase is the exact ground state in the strong coupling limit, while numerical examples demonstrate that also at finite interaction strength it can have lower energy than the breached-pair or LOFF states.Comment: Revised version accepted for publicatio