10,090 research outputs found
Searches for Compositeness at the Tevatron
Quark-quark and quark-lepton searches for compositenss at the Fermilab
Tevatron are summarized. These are of the contact-interaction variety where
sqrt(s-hat) < the hypothesized mass scales, Lambda. Tevatron experiments limit
a variety of compositeness phenomena in the range from 1.9 to 8.3 TeV. These
limits result from measurements of: the Ht spectrum (D0), dijet mass (D0),
dijet angular distribution (CDF, D0), drell-yan production (CDF, D0), and the
Neutral Current to Charged Current ratio (CCFR/NuTeV).Comment: Presented at VIIIth RENCONTRES DE BLOIS, with recent updates added. 7
Figure
An Introduction to Gauge Gravity Duality and Its Application in Condensed Matter
The past few years have witnessed a remarkable crossover of string
theoretical ideas from the abstract world of geometrical forms to the concrete
experimental realm of condensed matter physics. The basis for this ---
variously known as holography, the AdS/CFT correspondence or gauge-gravity
duality --comes from notions right at the cutting edge of string theory.
Nevertheless, the insights afforded can often be expressed in ways very
familiar to condensed matter physicists, such as relationships between response
functions and new sum rules.
The aim of this short, introductory review is to survey the ideas
underpinning this crossover, in a way that -- as far as possible -- strips them
of sophisticated mathematical formalism, whilst at the same time retaining
their fundamental essence. I will sketch the areas in which progress has been
made to date and highlight where the challenges and open questions lie.
Finally, I will attempt to give a perspective upon these ideas. What
contribution can we realistically expect from this approach and how might it be
accommodated into the canon of condensed matter theory? Inevitably, any attempt
to do this in such a rapidly evolving field will be superseded by events.
Nevertheless, I hope that this will provide a useful way to think about
gauge-gravity duality and the uncharted directions in which it might take us.Comment: Unedited version of article published in Contemporary Physics.
Intended for advanced final-year undergraduate
Regulatory-Optimal Funding
Funding is a cost to trading desks that they see as an input. Current
FVA-related literature reflects this by also taking funding costs as an input,
usually constant, and always risk-neutral. However, this funding curve is the
output from a Treasury point of view. Treasury must consider
Regulatory-required liquidity buffers, and both risk-neutral (Q) and physical
measures (P). We describe the Treasury funding problem and optimize against
both measures, using the Regulatory requirement as a constraint. We develop
theoretically optimal strategies for Q and P, then demonstrate a combined
approach in four markets (USD, JPY, EUR, GBP). Since we deal with physical
measures we develop appropriate statistical tests, and demonstrate highly
significant (p<0.00001), out-of-sample, improvements on hedged funding with a
combined approach achieving 44% to 71% of a perfect information criterion. Thus
regulatory liquidity requirements change both the funding problem and funding
costs.Comment: 20 pages; 8 figures; 2 tables, Risk, April 201
CDS pricing under Basel III: capital relief and default protection
Basel III introduces new capital charges for CVA. These charges, and the
Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price
in the capital relief that CDS contracts provide, we introduce a CDS pricing
model with three legs: premium; default protection; and capital relief. If
markets are complete, with no CDS bond basis, then CDSs can be replicated by
taking short positions in risky floating bonds issued by the reference entity
and a riskless bank account. If these conditions do not hold, then it is
theoretically possible that the capital relief that CDSs provide may be priced
in. Thus our model provides bounds on the CDS-implied hazard rates when markets
are incomplete. Under simple assumptions we show that 20% to over 50% of
observed CDS spread could be due to priced in capital relief. Given that this
is different for IMM and non-IMM banks will we see differential pricing?Comment: 16 pages, 10 figues, 3 table
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