Arbitrage-Free Pricing Before and Beyond Probabilities

"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices are given by linear forms which do not always correspond to probabilities. We give examples of such cases. We also show that arbitrage freedom is equivalent to the continuity of the pricing linear form in the relevant topology. Finally we analyze the possible loss of martingality of asset prices with lognormal stochastic volatility. For positive correlation martingality is lost when the financial process is modelled through standard probability theory. We show how to recover martingality using the appropriate mathematical tools.Comment: 5 page

Selfduality of d=2 Reduction of Gravity Coupled to a Sigma-Model

Dimensional reduction in two dimensions of gravity in higher dimension, or more generally of d=3 gravity coupled to a sigma-model on a symmetric space, is known to possess an infinite number of symmetries. We show that such a bidimensional model can be embedded in a covariant way into a sigma-model on an infinite symmetric space, built on the semidirect product of an affine group by the Witt group. The finite theory is the solution of a covariant selfduality constraint on the infinite model. It has therefore the symmetries of the infinite symmetric space. (We give explicit transformations of the gauge algebra.) The usual physical fields are recovered in a triangular gauge, in which the equations take the form of the usual linear systems which exhibit the integrable structure of the models. Moreover, we derive the constraint equation for the conformal factor, which is associated to the central term of the affine group involved.Comment: 7 page

Cosmological billiards and oxidation

We show how the properties of the cosmological billiards provide useful information (spacetime dimension and $p$-form spectrum) on the oxidation endpoint of the oxidation sequence of gravitational theories. We compare this approach to the other available methods: $GL(n,R)$ subgroups and the superalgebras of dualities.Comment: To appear in the Proceedings of the 27th Johns Hopkins Workshop and in the Proceedings of the 36th International Symposium Ahrenshoop; v2: minor error correcte

Borcherds symmetries in M-theory

It is well known but rather mysterious that root spaces of the $E_k$ Lie groups appear in the second integral cohomology of regular, complex, compact, del Pezzo surfaces. The corresponding groups act on the scalar fields (0-forms) of toroidal compactifications of M theory. Their Borel subgroups are actually subgroups of supergroups of finite dimension over the Grassmann algebra of differential forms on spacetime that have been shown to preserve the self-duality equation obeyed by all bosonic form-fields of the theory. We show here that the corresponding duality superalgebras are nothing but Borcherds superalgebras truncated by the above choice of Grassmann coefficients. The full Borcherds' root lattices are the second integral cohomology of the del Pezzo surfaces. Our choice of simple roots uses the anti-canonical form and its known orthogonal complement. Another result is the determination of del Pezzo surfaces associated to other string and field theory models. Dimensional reduction on $T^k$ corresponds to blow-up of $k$ points in general position with respect to each other. All theories of the Magic triangle that reduce to the $E_n$ sigma model in three dimensions correspond to singular del Pezzo surfaces with $A_{8-n}$ (normal) singularity at a point. The case of type I and heterotic theories if one drops their gauge sector corresponds to non-normal (singular along a curve) del Pezzo's. We comment on previous encounters with Borcherds algebras at the end of the paper.Comment: 30 pages. Besides expository improvements, we exclude by hand real fermionic simple roots when they would naively aris

Hidden Symmetries and Dirac Fermions

In this paper, two things are done. First, we analyze the compatibility of Dirac fermions with the hidden duality symmetries which appear in the toroidal compactification of gravitational theories down to three spacetime dimensions. We show that the Pauli couplings to the p-forms can be adjusted, for all simple (split) groups, so that the fermions transform in a representation of the maximal compact subgroup of the duality group G in three dimensions. Second, we investigate how the Dirac fermions fit in the conjectured hidden overextended symmetry G++. We show compatibility with this symmetry up to the same level as in the pure bosonic case. We also investigate the BKL behaviour of the Einstein-Dirac-p-form systems and provide a group theoretical interpretation of the Belinskii-Khalatnikov result that the Dirac field removes chaos.Comment: 30 page

Superconformal Selfdual Sigma-Models

A range of bosonic models can be expressed as (sometimes generalized) $\sigma$-models, with equations of motion coming from a selfduality constraint. We show that in D=2, this is easily extended to supersymmetric cases, in a superspace approach. In particular, we find that the configurations of fields of a superconformal $\mathfrak{G}/\mathfrak{H}$ coset models which satisfy some selfduality constraint are automatically solutions to the equations of motion of the model. Finally, we show that symmetric space $\sigma$-models can be seen as infinite-dimensional \tfG/\tfH models constrained by a selfduality equation, with \tfG the loop extension of $\mathfrak{G}$ and \tfH a maximal subgroup. It ensures that these models have a hidden global \tfG symmetry together with a local \tfH gauge symmetry.Comment: 21 pages; v2 few corrections and references added; v3 exposition change