Self-dual continuous processes

The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous conditionally quasi self-dual processes. Our main result is to give a characterization of continuous Ocone martingales via a strong version of self-duality.

Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

Chiral symmetry of QCD with twelve light flavors

We study QCD with twelve light flavors at intermediate values of the bare lattice coupling. We contrast the results for the order parameter with different theoretical models motivated by the physics of the Goldstone phase and of the symmetric phase, and we perform a model independent analysis of the meson spectrum inspired by universal properties of chiral symmetry. Our analysis favors chiral symmetry restoration.

Gauged R-symmetry and its anomalies in 4D N=1 supergravity and phenomenological implications

We consider a class of models with gauged U(1) R symmetry in 4D N=1 super-gravity that have, at the classical level, a metastable ground state, an infinitesimally small (tunable) positive cosmological constant and a TeV gravitino mass. We analyse if these properties are maintained under the addition of visible sector (MSSM-like) and hidden sector state(s), where the latter may be needed for quantum consistency. We then discuss the anomaly cancellation conditions in supergravity as derived by Freedman, Elvang and Körs and apply their results to the special case of a U(1) R symmetry, in the presence of the Fayet-Iliopoulos term (ξ) and Green-Schwarz mechanism(s). We investigate the relation of these anomaly cancellation conditions to the “naive” field theory approach in global SUSY, in which case U(1) R cannot even be gauged. We show the two approaches give similar conditions. Their induced constraints at the phenomenological level, on the above models, remain strong even if one lifted the GUT-like conditions for the MSSM gauge couplings. In an anomaly-free model, a tunable, TeV-scale gravitino mass may remain possible provided that the U(1) R charges of additional hidden sector fermions (constrained by the cubic anomaly alone) do not conflict with the related values of U(1) R charges of their scalar superpartners, constrained by existence of a stable ground state. This issue may be bypassed by tuning instead the coefficients of the Kahler connection anomalies (b K , b CK ).

Relating in situ gas measurements to the surface outgassing properties of cometary nuclei

The sensitivity of the gas flow field to changes in different initial conditions has been studied for the case of a highly simplified cometary nucleus model. The nucleus model simulated a homogeneously outgassing sphere with a more active ring around an axis of symmetry. The varied initial conditions were the number density of the homogeneous region, the surface temperature, and the composition of the flow (varying amounts of H2O and CO2) from the active ring. The sensitivity analysis was performed using the Polynomial Chaos Expansion (PCE) method. Direct Simulation Monte Carlo (DSMC) was used for the flow, thereby allowing strong deviations from local thermal equilibrium. The PCE approach can be used to produce a sensitivity analysis with only four runs per modified input parameter and allows one to study and quantify non-linear responses of measurable parameters to linear changes in the input over a wide range. Hence the PCE allows one to obtain a functional relationship between the flow field properties at every point in the inner coma and the input conditions. It is for example shown that the velocity and the temperature of the background gas are not simply linear functions of the initial number density at the source. As probably expected, the main influence on the resulting flow field parameter is the corresponding initial parameter (i.e. the initial number density determines the background number density, the temperature of the surface determines the flow field temperature, etc.). However, the velocity of the flow field is also influenced by the surface temperature while the number density is not sensitive to the surface temperature at all in our model set-up. Another example is the change in the composition of the flow over the active area. Such changes can be seen in the velocity but again not in the number density. Although this study uses only a simple test case, we suggest that the approach, when applied to a real case in 3D, should assist in identifying the sensitivity of gas parameters measured in situ by, for example, the Rosetta spacecraft to the surface boundary conditions and vice versa.