21,563 research outputs found
A note on the entropy of charged multi - black - holes
Majumdar--Papapetrou multi--black-hole solutions of the Einstein--Maxwell
equations are considered in four and higher dimensions. The Euclidean action
with boundary conditions appropriate to the canonical ensemble is shown to lead
to zero entropy.Comment: LaTeX, 8 page
Regime switching volatility calibration by the Baum-Welch method
Regime switching volatility models provide a tractable method of modelling stochastic
volatility. Currently the most popular method of regime switching calibration is the
Hamilton filter. We propose using the Baum-Welch algorithm, an established technique
from Engineering, to calibrate regime switching models instead. We demonstrate the
Baum-Welch algorithm and discuss the significant advantages that it provides compared to the Hamilton filter. We provide computational results of calibrating and comparing the performance of the Baum-Welch and the Hamilton filter to S&P 500 and Nikkei 225 data, examining their performance in and out of sample
Ordinary atom-mirror atom bound states: A new window on the mirror world
Mirror symmetry is a plausible candidate for a fundamental symmetry of
particle interactions which can be exactly conserved if a set of mirror
particles exist. The properties of the mirror particles seem to provide an
excellent candidate to explain the inferred dark matter of the Universe and
might also be responsible for a variety of other puzzles in particle physics,
astrophysics, meteoritics and planetary science. One such puzzle -- the
orthopositronium lifetime problem -- can be explained if there is a small
kinetic mixing of ordinary and mirror photons. We show that this kinetic mixing
implies the existence of ordinary atom - mirror atom bound states with
interesting terrestrial and astrophysical implications. We suggest that
sensitive mass spectroscopic studies of ordinary samples containing heavy
elements such as lead might reveal the presence of these bound states, as they
would appear as anomalously heavy elements. In addition to the effects of
single mirror atoms, collective effects from embedded fragments of mirror
matter (such as mirror iron microparticles) are also possible. We speculate
that such mirror matter fragments might explain a mysterious UV photon burst
observed coming from a laser irradiated lead target in a recent experiment.Comment: about 8 pages, couple of change
Quantum Information Paradox: Real or Fictitious?
One of the outstanding puzzles of theoretical physics is whether quantum
information indeed gets lost in the case of Black Hole (BH) evaporation or
accretion. Let us recall that Quantum Mechanics (QM) demands an upper limit on
the acceleration of a test particle. On the other hand, it is pointed out here
that, if a Schwarzschild BH would exist, the acceleration of the test particle
would blow up at the event horizon in violation of QM. Thus the concept of an
exact BH is in contradiction of QM and quantum gravity (QG). It is also
reminded that the mass of a BH actually appears as an INTEGRATION CONSTANT of
Einstein equations. And it has been shown that the value of this integration
constant is actually zero. Thus even classically, there cannot be finite mass
BHs though zero mass BH is allowed. It has been further shown that during
continued gravitational collapse, radiation emanating from the contracting
object gets trapped within it by the runaway gravitational field. As a
consequence, the contracting body attains a quasi-static state where outward
trapped radiation pressure gets balanced by inward gravitational pull and the
ideal classical BH state is never formed in a finite proper time. In other
words, continued gravitational collapse results in an "Eternally Collapsing
Object" which is a ball of hot plasma and which is asymptotically approaching
the true BH state with M=0 after radiating away its entire mass energy. And if
we include QM, this contraction must halt at a radius suggested by highest QM
acceleration. In any case no EH is ever formed and in reality, there is no
quantum information paradox.Comment: 8 pages in Pramana Style, 6 in Revtex styl
Political Risk Modelling and Measurement From Stochastic Volatility Models
The past decades have seen an unprecedented global rise in unforeseen political events, which have led to social unrest, economic declines and a renewed interest in political risk modelling. Whilst continuous time financial models have been developed for a range of risk factors, there is currently no method for political risk modelling. In this paper, we propose a new model for political risk modelling; to the best of our knowledge, this is the first model for continuous time stochastic volatility models. We derive a method for obtaining political risk states from a continuous time stochastic volatility model, and our model enables us to derive the evolution of political risk states over time. We derive two important properties of our political risk model: we find a solution for the characteristic function and prove weak convergence. Next, we derive a method for calculating standard risk measures for our political risk, namely value at risk, variance, moments, as well as upside and downside risk measurement. We also provide numerical experiments to illustrate our results
Efficient Option Risk Measurement With Reduced Model Risk
Options require risk measurement that is also computationally efficient as it is important to derivatives risk management. There are currently few methods that are specifically adapted for efficient option risk measurement. Moreover, current methods rely on series approximations and incur significant model risks, which inhibit their applicability for risk management.
In this paper we propose a new approach to computationally efficient option risk measurement, using the idea of a replicating portfolio and coherent risk measurement. We find our approach to option risk measurement provides fast computation by practically eliminating nonlinear computational operations. We reduce model risk by eliminating calibration and implementation risks by using mostly observable data, we remove internal model risk for complex option portfolios by not admitting arbitrage opportunities, we are also able to incorporate liquidity or model misspecification risks. Additionally, our method enables tractable and convex optimisation of portfolios containing multiple options. We conduct numerical experiments to test our new approach and they validate it over a range of option pricing parameters
Downside risk measurement in regime switching stochastic volatility
Risk measurement is important to firms to enable management of risks, and ensure profitability during different firm and market events. In particular, downside risk is an important risk measure as it is a coherent risk measure, and it is also compatible with industry risk management approaches such as stop losses. Whilst regime switching models have been used for downside risk measurement, the regime switching models for stochastic volatility dynamics have been limited and so restrict risk measurement. In this paper we propose a new regime switching model that incorporates non-trivial stochastic volatility dynamics, hence we are able to measure risk more realistically. We derive the downside risk measure associated with our regime switching model, for risk measurement including and excluding jump risk. We prove that the regime switching model converges to the underlying continuous time asset pricing model, hence our risk measurement is consistent. We provide a discretisation for the variance risk process, which is locally consistent and enables computational implementation. We also provide numerical experiments to illustrate our method
The evolution of unstable black holes in anti-de Sitter space
We examine the thermodynamic stability of large black holes in
four-dimensional anti-de Sitter space, and we demonstrate numerically that
black holes which lack local thermodynamic stability often also lack stability
against small perturbations. This shows that no-hair theorems do not apply in
anti-de Sitter space. A heuristic argument, based on thermodynamics only,
suggests that if there are any violations of Cosmic Censorship in the evolution
of unstable black holes in anti-de Sitter space, they are beyond the reach of a
perturbative analysis.Comment: 29 pages, latex, four figures. For problems printing the figures, see
http://viper.princeton.edu/~ssgubser/tachyon/README . v2: minor additions,
JHEP versio
Dreibein as prepotential for three-dimensional Yang-Mills theory
We advocate and develop the use of the dreibein (and the metric) as
prepotential for three-dimensional SO(3) Yang-Mills theory. Since the dreibein
transforms homogeneously under gauge transformation, the metric is gauge
invariant. For a generic gauge potential, there is a unique dreibein on fixing
the boundary condition. Topologically non-trivial monopole configurations are
given by conformally flat metrics, with scalar fields capturing the monopole
centres. Our approach also provides an ansatz for the gauge potential covering
the topological aspects.Comment: 13 pages, improved version, section on Jacobian remove
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