Arbitrage Bounds for Prices of Weighted Variance Swaps

We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them. We find that market quotes for variance swaps are surprisingly close to the model-free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi-infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model-independent and probability-free setup. In particular we use and extend F\"ollmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the 'log contract' and similar connections for weighted variance swaps. Our results take form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk-neutral expectations of discounted payoffs.Comment: 25 pages, 4 figure

Rotating dust solutions of Einstein's equations with 3-dimensional symmetry groups; Part 1: Two Killing fields spanned on u^{\alpha} and w^{\alpha }

For a rotating dust with a 3-dimensional symmetry group all possible metric forms can be classified and, within each class, explicitly written out. This is made possible by the formalism of Pleba\'nski based on the Darboux theorem. In the resulting coordinates, the Killing vector fields (if any exist) assume a special form. Each Killing vector field may be either spanned on the fields of velocity and rotation or linearly independent of them. By considering all such cases one arrives at the classification. With respect to the structures of the groups, this is just the Bianchi classification, but with all possible orientations of the orbits taken into account. In this paper, which is part 1 of a 3-part series, all solutions are considered for which two Killing fields are spanned on velocity and rotation. The solutions of Lanczos and G\"{o}del are identified as special cases, and their new invariant definitions are provided. In addition, a new invariant definition is given of the Ozsvath class III solution.Comment: 23 pages, LaTe

A Non - Singular Cosmological Model with Shear and Rotation

We have investigated a non-static and rotating model of the universe with an imperfect fluid distribution. It is found that the model is free from singularity and represents an ever expanding universe with shear and rotation vanishing for large value of time.Comment: 10 pages, late

Uniformly Accelerated Charge in a Quantum Field: From Radiation Reaction to Unruh Effect

We present a stochastic theory for the nonequilibrium dynamics of charges moving in a quantum scalar field based on the worldline influence functional and the close-time-path (CTP or in-in) coarse-grained effective action method. We summarize (1) the steps leading to a derivation of a modified Abraham-Lorentz-Dirac equation whose solutions describe a causal semiclassical theory free of runaway solutions and without pre-acceleration patholigies, and (2) the transformation to a stochastic effective action which generates Abraham-Lorentz-Dirac-Langevin equations depicting the fluctuations of a particle's worldline around its semiclassical trajectory. We point out the misconceptions in trying to directly relate radiation reaction to vacuum fluctuations, and discuss how, in the framework that we have developed, an array of phenomena, from classical radiation and radiation reaction to the Unruh effect, are interrelated to each other as manifestations at the classical, stochastic and quantum levels. Using this method we give a derivation of the Unruh effect for the spacetime worldline coordinates of an accelerating charge. Our stochastic particle-field model, which was inspired by earlier work in cosmological backreaction, can be used as an analog to the black hole backreaction problem describing the stochastic dynamics of a black hole event horizon.Comment: Invited talk given by BLH at the International Assembly on Relativistic Dynamics (IARD), June 2004, Saas Fee, Switzerland. 19 pages, 1 figur