Supersymmetric black rings and three-charge supertubes

We present supergravity solutions for 1/8-supersymmetric black supertubes with three charges and three dipoles. Their reduction to five dimensions yields supersymmetric black rings with regular horizons and two independent angular momenta. The general solution contains seven independent parameters and provides the first example of nonuniqueness of supersymmetric black holes. In ten dimensions, the solutions can be realized as D1-D5-P black supertubes. We also present a worldvolume construction of a supertube that exhibits three dipoles explicitly. This description allows an arbitrary cross section but captures only one of the angular momenta.

Statistical description of rotating Kaluza-Klein black holes

We extend the recent microscopic analysis of extremal dyonic Kaluza-Klein (D0-D6) black holes to cover the regime of fast rotation in addition to slow rotation. Fastly rotating black holes, in contrast to slow ones, have nonzero angular velocity and possess ergospheres, so they are more similar to the Kerr black hole. The D-brane model reproduces their entropy exactly, but the mass gets renormalized from weak to strong coupling, in agreement with recent macroscopic analyses of rotating attractors. We discuss how the existence of the ergosphere and superradiance manifest themselves within the microscopic model. In addition, we show in full generality how Myers-Perry black holes are obtained as a limit of Kaluza-Klein black holes, and discuss the slow and fast rotation regimes and superradiance in this context.

Pair Creation of Black Holes Joined by Cosmic Strings

We argue that production of charged black hole pairs joined by a cosmic string in the presence of a magnetic field can be analyzed using the Ernst metric. The effect of the cosmic string is to pull the black holes towards each other, opposing to the background field. An estimation of the production rate using the Euclidean action shows that the process is suppressed as compared to the formation of black holes without strings.

Absence of Abelian Higgs Hair for Extreme Black Holes

It has been argued that a black hole horizon can support the long range fields of a Nielsen-Olesen string, and that one can think of such a vortex as black hole hair. We show that the fields inside the vortex are completely expelled from a charged black hole in the extreme limit (but not in the near extreme limit). This would seem to imply that a vortex cannot be attached to an extreme black hole. Furthermore, we provide evidence that it is energetically unfavorable for a thin vortex to interact with a large extreme black hole. This dispels the notion that a black hole can support long Abelian Higgs hair in the extreme limit.

Quantization of AdS3 black holes in external fields: semiclassical results from pure gravity

(2+1)-dimensional anti-de Sitter (AdS) gravity is quantized in the presence of an external scalar field. We find that the coupling between the scalar field and gravity is equivalently described by a perturbed conformal field theory at the boundary of AdS3. This allows us to perform a microscopic computation of the transition rates between black hole states due to absorption and induced emission of the scalar field. Detailed thermodynamic balance then yields Hawking radiation as spontaneous emission, and we find agreement with the semiclassical result, including greybody factors. This result also has application to four and five-dimensional black holes in supergravity.

Black holes radiate mainly on the brane

We examine the evaporation of a small black hole on a brane in a world with large extra dimensions. Since the masses of many Kaluza-Klein modes are much smaller than the Hawking temperature of the black hole, it has been claimed that most of the energy is radiated into these modes. We show that this is incorrect. Most of the energy goes into the modes on the brane. This raises the possibility of observing Hawking radiation in future high energy colliders if there are large extra dimensions.

A Rotating black ring solution in five dimensions

The vacuum Einstein equations in five dimensions are shown to admit a solution describing a stationary asymptotically flat spacetime regular on and outside an event horizon of topology S1S2. It describes a rotating black ring. This is the first example of a stationary asymptotically flat vacuum solution with an event horizon of nonspherical topology. The existence of this solution implies that the uniqueness theorems valid in four dimensions do not have simple five-dimensional generalizations. It is suggested that increasing the spin of a spherical black hole beyond a critical value results in a transition to a black ring, which can have an arbitrarily large angular momentum for a given mass.

A Supersymmetric black ring

A new supersymmetric black hole solution of five-dimensional supergravity is presented. It has an event horizon of topology S1 X S2. This is the first example of a supersymmetric, asymptotically flat black hole of nonspherical topology. The solution is uniquely specified by its electric charge and two independent angular momenta. These conserved charges can be arbitrarily close, but not exactly equal, to those of a supersymmetric black hole of spherical topology.

Microstates of a neutral black hole in M theory

We consider vacuum solutions in M theory of the form of a five-dimensional Kaluza-Klein black hole cross T6. In a certain limit, these include the five-dimensional neutral rotating black hole (cross T6). From a type-IIA standpoint, these solutions carry D0 and D6 charges. We show that there is a simple D-brane description which precisely reproduces the Hawking-Bekenstein entropy in the extremal limit, even though supersymmetry is completely broken.

Microscopic entropy of the black ring

A surprising new seven-parameter supersymmetric black ring solution of five-dimensional supergravity has recently been discovered. In this paper, M theory is used to give an exact microscopic accounting of its entropy.

Extreme times for volatility processes

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.

New horizons for black holes and branes

We initiate a systematic scan of the landscape of black holes in any spacetime dimension using the recently proposed blackfold effective worldvolume theory. We focus primarily on asymptotically flat stationary vacuum solutions, where we uncover large classes of new black holes. These include helical black strings and black rings, black odd-spheres, for which the horizon is a product of a large and a small sphere, and non-uniform black cylinders. More exotic possibilities are also outlined. The blackfold description recovers correctly the ultraspinning Myers-Perry black holes as ellipsoidal even-ball configurations where the velocity field approaches the speed of light at the boundary of the ball. Helical black ring solutions provide the first instance of asymptotically flat black holes in more than four dimensions with a single spatial U(1) isometry. They also imply infinite rational non-uniqueness in ultraspinning regimes, where they maximize the entropy among all stationary single-horizon solutions. Moreover, static blackfolds are possible with the geometry of minimal surfaces. The absence of compact embedded minimal surfaces in Euclidean space is consistent with the uniqueness theorem of static black holes

Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).