Online Local Volatility Calibration by Convex Regularization with Morozov's Principle and Convergence Rates

We address the inverse problem of local volatility surface calibration from market given option prices. We integrate the ever-increasing flow of option price information into the well-accepted local volatility model of Dupire. This leads to considering both the local volatility surfaces and their corresponding prices as indexed by the observed underlying stock price as time goes by in appropriate function spaces. The resulting parameter to data map is defined in appropriate Bochner-Sobolev spaces. Under this framework, we prove key regularity properties. This enable us to build a calibration technique that combines online methods with convex Tikhonov regularization tools. Such procedure is used to solve the inverse problem of local volatility identification. As a result, we prove convergence rates with respect to noise and a corresponding discrepancy-based choice for the regularization parameter. We conclude by illustrating the theoretical results by means of numerical tests.Comment: 23 pages, 5 figure

Moduli and K\"ahler potential in fermionic strings

We study the problem of identifying the moduli fields in fermionic four-dimensional string models. We deform a free-fermionic model by introducing exactly marginal operators in the form of Abelian Thirring interactions on the world-sheet, and show that their couplings correspond to the untwisted moduli fields. We study the consequences of this method for simple free-fermionic models which correspond to $Z_2\times Z_2$ orbifolds and obtain their moduli space and K\"ahler potential by symmetry arguments and by direct calculation of string scattering amplitudes. We then generalize our analysis to more complicated fermionic structures which arise in constructions of realistic models corresponding to asymmetric orbifolds, and obtain the moduli space and K\"ahler potential for this case. Finally we extend our analysis to the untwisted matter sector and derive expressions for the full K\"ahler potential to be used in phenomenological applications, and the target space duality transformations of the corresponding untwisted matter fields.Comment: 27pp Latex text, no figs, CERN-TH.7259/94, CTP-TAMU-14/94 and ACT-06/9

Phase and Charge reentrant phase transitions in two capacitively coupled Josephson arrays with ultra-small junction

We have studied the phase diagram of two capacitively coupled Josephson junction arrays with charging energy, $E_c$, and Josephson coupling energy, $E_J$. Our results are obtained using a path integral Quantum Monte Carlo algorithm. The parameter that quantifies the quantum fluctuations in the i-th array is defined by $\alpha_i\equiv \frac{E_{{c}_i}}{E_{J_i}}$. Depending on the value of $\alpha_i$, each independent array may be in the semiclassical or in the quantum regime: We find that thermal fluctuations are important when $\alpha \lesssim 1.5$ and the quantum fluctuations dominate when $2.0 \lesssim \alpha$. We have extensively studied the interplay between vortex and charge dominated individual array phases. The two arrays are coupled via the capacitance $C_{{\rm inter}}$ at each site of the lattices. We find a {\it reentrant transition} in $\Upsilon(T,\alpha)$, at low temperatures, when one of the arrays is in the semiclassical limit (i.e. $\alpha_{1}=0.5$) and the quantum array has $2.0 \leq\alpha_{2} \leq 2.5$, for the values considered for the interlayer capacitance. In addition, when $3.0 \leq \alpha_{2} < 4.0$, and for all the inter-layer couplings considered above, a {\it novel} reentrant phase transition occurs in the charge degrees of freedom, i.e. there is a reentrant insulating-conducting transition at low temperatures. We obtain the corresponding phase diagrams and found some features that resemble those seen in experiments with 2D JJA.Comment: 25 Latex pages including 8 encapsulated poscript figures. Accepted for publication in Phys. Rev B (Nov. 2004 Issue

M-theory Inspired No-scale Supergravity

We propose a supergravity model that contains elements recently shown to arise in the strongly-coupled limit of the $E_8\times E_8$ heterotic string (M-theory), including a no-scale--like K\"ahler potential, the identification of the string scale with the gauge coupling unification scale, and the onset of supersymmetry breaking at an intermediate scale determined by the size of the eleventh dimension of M-theory. We also study the phenomenological consequences of such scenario, which include a rather constrained sparticle spectrum within the reach of present-generation particle accelerators.Comment: 8 pages, LaTeX, 3 figures (included

On the thermal and double episode emissions in GRB 970828

Following the recent theoretical interpretation of GRB 090618 and GRB 101023, we here interpret GRB 970828 in terms of a double episode emission: the first episode, observed in the first 40 s of the emission, is interpreted as the proto-black-hole emission; the second episode, observed after t$_0$+50 s, as a canonical gamma ray burst. The transition between the two episodes marks the black hole formation. The characteristics of the real GRB, in the second episode, are an energy of $E_{tot}^{e^+e^-} = 1.60 \times 10^{53}$ erg, a baryon load of $B = 7 \times 10^{-3}$ and a bulk Lorentz factor at transparency of $\Gamma = 142.5$. The clear analogy with GRB 090618 would require also in GRB 970828 the presence of a possible supernova. We also infer that the GRB exploded in an environment with a large average particle density $\, \approx 10^3$ part/cm$^3$ and dense clouds characterized by typical dimensions of $(4 - 8) \times 10^{14}$ cm and $\delta n/n \propto 10$. Such an environment is in line with the observed large column density absorption, which might have darkened both the supernova emission and the GRB optical afterglow.Comment: 7 pages, 10 figures, submitted to Ap

Cosmological string models from Milne spaces and SL(2,Z) orbifold

The $n+1$-dimensional Milne Universe with extra free directions is used to construct simple FRW cosmological string models in four dimensions, describing expansion in the presence of matter with $p=k \rho$, $k=(4-n)/3n$. We then consider the n=2 case and make SL(2,Z) orbifold identifications. The model is surprisingly related to the null orbifold with an extra reflection generator. The study of the string spectrum involves the theory of harmonic functions in the fundamental domain of SL(2,Z). In particular, from this theory one can deduce a bound for the energy gap and the fact that there are an infinite number of excitations with a finite degeneracy. We discuss the structure of wave functions and give examples of physical winding states becoming light near the singularity.Comment: 14 pages, harvma

Linear Theory of Electron-Plasma Waves at Arbitrary Collisionality

The dynamics of electron-plasma waves are described at arbitrary collisionality by considering the full Coulomb collision operator. The description is based on a Hermite-Laguerre decomposition of the velocity dependence of the electron distribution function. The damping rate, frequency, and eigenmode spectrum of electron-plasma waves are found as functions of the collision frequency and wavelength. A comparison is made between the collisionless Landau damping limit, the Lenard-Bernstein and Dougherty collision operators, and the electron-ion collision operator, finding large deviations in the damping rates and eigenmode spectra. A purely damped entropy mode, characteristic of a plasma where pitch-angle scattering effects are dominant with respect to collisionless effects, is shown to emerge numerically, and its dispersion relation is analytically derived. It is shown that such a mode is absent when simplified collision operators are used, and that like-particle collisions strongly influence the damping rate of the entropy mode.Comment: 23 pages, 10 figures, accepted for publication on Journal of Plasma Physic