Mortgage default and mortgage valuation

We study optimal exercise by mortgage borrowers of the option to default. Also, we use an equilibrium valuation model incorporating default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value ratios when borrowers default optimally. The analysis treats both the frictionless case and the case in which borrowers and/or lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. We find that the model's principal testable implication for default and mortgage pricing—that default rates and yield spreads will be higher for high loan-to-value mortgages—is borne out empirically.Mortgage loans ; Mortgage loans - California ; Default (Finance)

Nuclear models on a lattice

We present the first results of a quantum field approach to nuclear models obtained by lattice techniques. Renormalization effects for fermion mass and coupling constant in case of scalar and pseudoscalar interaction lagrangian densities are discussed.Comment: 4 pages - 7 figures ; Invited talk to QCD 05: 12th International QCD Conference, 4-9 Jul 2005, Montpellier, France ; To appear in Nucl. Phys. B (Proc. Suppl.

Instanton traces in lattice gluon correlation functions

Strong coupling constant computed in Landau gauge and MOM renormalization scheme from lattice two and three gluon Green Functions exhibits an unexpected behavior in the deep IR, showing a maximum value around $1 {\rm GeV}$. We analise this coupling below this maximum within a semiclassical approach, were gluon degrees of freedom at very low energies are described in terms of the classical solutions of the lagrangian, namely instantons. We provide some new results concerning the relationship between instantons and the low energy dynamics of QCD, by analising gluon two- and three-point Green functions separately and with the help of a cooling procedure to eliminate short range correlations.Comment: 4 pages, talk given at XXXX Rencontres de Moriond on QCD and Hadronic Interactions, La Thuile (Italy

Modified instanton profile effects from lattice Green functions

We trace here instantons through the analysis of pure Yang-Mills gluon Green functions in the Landau gauge for a window of IR momenta (0.4 GeV $< k < 0.9$ GeV). We present lattice results that can be fitted only after substituting the BPST profile in the Instanton liquid model (ILM) by one based on the Diakonov and Petrov variational methods. This also leads us to gain information on the parameters of ILM.Comment: 32 pagex, 6 figure

A Ghost Story II: Ghosts, Gluons and the Gluon condensate beyond the IR of QCD

Beyond the deep IR, the analysis of ghost and gluon propagators still keeps very interesting non-perturbative information. The Taylor-scheme coupling can be computed and applied to obtain the $\Lambda_{\rm QCD}$ parameter from Landau gauge lattice simulations. Furthermore, a dimension-two gluon condensate, that can be understood in the instanton liquid model, plays an important role in the game.Comment: 12 pp., 3 fig

Yukawa model on a lattice: two body states

We present first results of the solutions of the Yukawa model as a Quantum Field Theory (QFT) solved non perturbatively with the help of lattice calculations. In particular we will focus on the possibility of binding two nucleons in the QFT, compared to the non relativistic result.Comment: 3 pages, talk at "IVth International Conference on Quarks and Nuclear Physics" (Madrid, June 2006

Two body scattering length of Yukawa model on a lattice

The extraction of scattering parameters from Euclidean simulations of a Yukawa model in a finite volume with periodic boundary conditions is analyzed both in non relativistic quantum mechanics and in quantum field theory.Comment: 4 pages, talk at "18th International IUPAP conference on Few Body Problems in Physics" (Sao Paulo, August 2006

Lattice calculation of 1/p21/p^2 corrections to αs\alpha_s and of ΛQCD\Lambda_{\rm {QCD}} in the MOM~\widetilde{MOM} scheme

We report on very strong evidence of the occurrence of power terms in \as(p), the QCD running coupling constant in the $\widetilde{MOM}$ scheme, by analyzing non-perturbative measurements from the lattice three-gluon vertex between 2.0 and 10.0 GeV at zero flavor. While putting forward the caveat that this definition of the coupling is a gauge dependent one, the general relevance of such an occurrence is discussed. We fit $\Lambda_{\bar{\rm MS}}^{(n_f=0)}= 237 \pm 3 ^{+ 0}_{-10}$ MeV in perfect agreement with the result obtained by the ALPHA group with a totally different method. The power correction to \as(p) is fitted to $(0.63\pm 0.03 ^{+ 0.0}_{- 0.13}) {\rm GeV}^2/p^2$.Comment: 21 pages, 3 figure