arXiv subjects

Aurelio Romero-Bermúdez

Publications and source records attributed to Aurelio Romero-Bermúdez.

15 recordsLinked to original sources

arXiv2024

Analytic Pricing of SOFR Futures Contracts with Smile and Skew

We introduce a perturbative formalism to solve the backward-looking futures pricing problem. The formalism is based on a time-ordered exponential series which allows to derive the functional form of the integral kernel associated to the backward-Kolmogorov diffusion PDE. We present an analytic pricing formula for SOFR futures contracts under an extension of the Hull-White model which incorporates not only the intrinsic convexity adjustments captured by Mercurio [2018], but also the skew and smile observed in options markets as done in Turfus and Romero-Bermúdez [2023].

q-fin.MF↗

arXiv2023

Analytic RFR Option Pricing with Smile and Skew

We extend the short rate model of Turfus and Romero-Bermúdez [2021] to facilitate accurate arbitrage-free analytic pricing of SOFR, SONIA or ESTR caplets, i.e. options on backward-looking compounded rates payments, in a manner consistent with the smile and skew levels observed in the market. These caplet pricing formulae and corresponding LIBOR or term-rate caplet results are translated into effective variance (implied volatility) formulae, which are seen to be of a particularly simple form. They show that the model is essentially equivalent to imposing on a Hull-White model an effective variance which is a quadratic function of the moneyness parameter (rather than a constant) for any given maturity. Results are also illustrated graphically.

q-fin.MF↗

arXiv2021

Reply to Comment on "Chaotic-Integrable Transition in the Sachdev-Ye-Kitaev Model"

In a recent comment to the paper Chaotic Integrable transition in the SYK model, it was claimed that, in a certain region of parameters, the Lyapunov exponent of the N Majoranas Sachdev-Ye-Kitaev model with a quadratic perturbation, is always positive. This implies that the model is quantum chaotic. In this reply, we show that the employed perturbative formalism breaks down precisely in the range of parameters investigated in the comment due to a lack of separation of time scales. Moreover, based on recent analytical results, we show that for any large and fixed N, the model has indeed a chaotic-integrable transition that invalidate the results of the comment.

cond-mat.str-el↗

arXiv2020

Charge density response and fake plasmons in holographic models with strong translation symmetry breaking

We study the charge density response in holographic models with explicit translation symmetry breaking which is relevant in IR. In particular, we focus on Q-lattices and the Bianchy VII helix. We show that the hydrodynamic sound mode is removed from the spectrum due to the strong momentum relaxation and therefore, the usual treatment of the plasmon as Coulomb-dressed zero sound does not apply. Furthermore, the dominant coherent modes in the longitudinal channel, which control the neutral density-density correlator, are diffusive. We show these modes are strongly suppressed when the boundary Coulomb interaction is turned on. This renders the low frequency charge density response spectrum completely incoherent and featureless. At intermediate frequencies, we observe a broad feature -- the fake plasmon -- in the dressed correlator, which could be confused with an overdamped plasmon. However, its gap is set by the scale of translation symmetry breaking instead of the plasma frequency. This broad feature originates from the non-hydrodynamic sector of the holographic spectrum, and therefore, its behaviour, typical of strongly correlated quantum critical systems with holographic duals, deviates from the standard Fermi-liquid paradigm.

hep-th↗

arXiv2019

Isolated zeros destroy Fermi surface in holographic models with a lattice

We study the fermionic spectral density in a strongly correlated quantum system described by a gravity dual. In the presence of periodically modulated chemical potential, which models the effect of the ionic lattice, we explore the shapes of the corresponding Fermi surfaces, defined by the location of peaks in the spectral density at the Fermi level. We find that at strong lattice potentials sectors of the Fermi surface are unexpectedly destroyed and the Fermi surface becomes an arc-like disconnected manifold. We explain this phenomenon in terms of a collision of the Fermi surface pole with zeros of the fermionic Green's function, which are explicitly computable in the holographic dual.

hep-th↗

arXiv2019

Regularization dependence of the OTOC. Which Lyapunov spectrum is the physical one?

We study the contour dependence of the out-of-time-ordered correlation function (OTOC) both in weakly coupled field theory and in the Sachdev-Ye-Kitaev (SYK) model. We show that its value, including its Lyapunov spectrum, depends sensitively on the shape of the complex time contour in generic weakly coupled field theories. For gapless theories with no thermal mass, such as SYK, the Lyapunov spectrum turns out to be an exception; their Lyapunov spectra do not exhibit contour dependence, though the full OTOCs do. Our result puts into question which of the Lyapunov exponents computed from the exponential growth of the OTOC reflects the actual physical dynamics of the system. We argue that, in a weakly coupled $Φ^4$ theory, a kinetic theory argument indicates that the symmetric configuration of the time contour, namely the one for which the bound on chaos has been proven, has a proper interpretation in terms of dynamical chaos. Finally, we point out that a relation between these OTOCs and a quantity which may be measured experimentally --- the Loschmidt echo --- also suggests a symmetric contour configuration, with the subtlety that the inverse periodicity in Euclidean time is half the physical temperature. In this interpretation the chaos bound reads $λ\leq \frac{2π}β= πT_{\text{physical}}$.

hep-th↗

arXiv2019

Density response of holographic metallic IR fixed points with translational pseudo-spontaneous symmetry breaking

The density response of charged liquids contains a collective excitation known as the plasmon. In holographic systems with translational invariance the origin of this collective excitation is traced back to the presence of zero-sound. Using a holographic model in which translational symmetry is broken pseudo-spontaneously, we show the density response is not dominated by a single isolated mode at low momentum and temperature. As a consequence, the density response contains a broad asymmetric peak with an attenuation which does not increase monotonically with momentum and temperature.

hep-th↗

arXiv2019

Anomalous attenuation of plasmons in strange metals and holography

The plasmon is a ubiquitous collective mode in charged liquids. Due to the long-range Coulomb interaction, the massless zero sound mode of the neutral system acquires a finite plasmon frequency in the long-wavelength limit. In the zero-temperature state of conventional metals -- the Fermi liquid -- the plasmon lives infinitely long at long wavelength when the system is (effectively) translationally invariant. In contrast, we will show that in strongly entangled strange metals the protection of zero sound fails at finite frequency and plasmons are always short lived regardless of their wavelength. Computing the explicit plasmon response in holographic strange metals as an example, we show that decay into the quantum critical continuum replaces Landau damping and this happens for any wavelength.

cond-mat.str-el↗

arXiv2018

A Cardy formula for off-diagonal three-point coefficients; or, how the geometry behind the horizon gets disentangled

In the AdS/CFT correspondence eternal black holes can be viewed as a specific entanglement between two copies of the CFT: the thermofield double. The statistical CFT Wightman function can be computed from a geodesic between the two boundaries of the Kruskal extended black hole and therefore probes the geometry behind the horizon. We construct a kernel for the AdS3/CFT2 Wightman function that is independent of the entanglement. This kernel equals the average off-diagonal matrix element squared of a primary operator. This allows us to compute the Wightman function for an arbitrary entanglement between the double copies and probe the emergent geometry between a left- and right-CFT that are not thermally entangled.

hep-th↗

arXiv2018

Chaotic-Integrable Transition in the Sachdev-Ye-Kitaev Model

Quantum chaos is one of the distinctive features of the Sachdev-Ye-Kitaev (SYK) model, $N$ Majorana fermions in $0+1$ dimensions with infinite-range two-body interactions, which is attracting a lot of interest as a toy model for holography. Here we show analytically and numerically that a generalized SYK model with an additional one-body infinite-range random interaction, which is a relevant perturbation in the infrared, is still quantum chaotic and retains most of its holographic features for a fixed value of the perturbation and sufficiently high temperature. However a chaotic-integrable transition, characterized by the vanishing of the Lyapunov exponent and spectral correlations given by Poisson statistics, occurs at a temperature that depends on the strength of the perturbation. We speculate about the gravity dual of this transition.

hep-th↗

arXiv2017

Transport in a gravity dual with a varying gravitational coupling constant

We study asymptotically AdS Brans-Dicke (BD) backgrounds, where the Ricci tensor R is coupled to a scalar in the radial dimension, as effective models of metals with a varying coupling constant. We show that, for translational invariant backgrounds, the regular part of the dc conductivity $σ_Q$ deviates from the universal result of Einstein-Maxwell-Dilaton (EMD) models. However, the shear viscosity to entropy ratio saturates the Kovtun-Son-Starinets (KSS) bound. Similar results apply to more general f(R) gravity models. In four bulk dimensions we study momentum relaxation induced by gravitational and electromagnetic axion-dependent couplings. For sufficiently strong momentum dissipation induced by the former, a recently proposed bound on the dc conductivity $σ$ is violated for any finite electromagnetic axion coupling. Interestingly, in more than four bulk dimensions, the dc conductivity for strong momentum relaxation decreases with temperature in the low temperature limit. In line with other gravity backgrounds with momentum relaxation, the shear viscosity to entropy ratio is always lower than the KSS bound. The numerical computation of the optical conductivity reveals a linear growth with the frequency in the limit of low temperature, low frequency and large momentum relaxation. We have also shown that the module and argument of the optical conductivity for intermediate frequencies are not consistent with cuprates experimental results, even assuming several channel of momentum relaxation.

hep-th↗

arXiv2016

Conductivity and entanglement entropy of high dimensional holographic superconductors

We investigate the dependence of the conductivity and the entanglement entropy on the space-time dimensionality $d$ in two holographic superconductors: one dual to a quantum critical point with spontaneous symmetry breaking, and the other modeled by a charged scalar that condenses at a sufficiently low temperature in the presence of a Maxwell field. In both cases the gravity background is asymptotically Anti de Sitter (AdS). In the large $d$ limit we obtain explicit analytical results for the conductivity at zero temperature and the entanglement entropy by a $1/d$ expansion. We show that the entanglement entropy is always smaller in the broken phase. As dimensionality increases, the entanglement entropy decreases, the coherence peak in the conductivity becomes narrower and the ratio between the energy gap and the critical temperature decreases. These results suggest that the condensate interactions become weaker in high spatial dimensions.

hep-th↗

arXiv2016

Shape resonances and shell effects in thin-film multiband superconductors

We study analytically the evolution of superconductivity in clean quasi-two-dimensional multiband supercon- ductors as the film thickness enters the nanoscale region by mean-field and semiclassical techniques. Tunneling into the substrate and finite lateral size effects, which are important in experiments, are also considered in our model. As a result, it is possible to investigate the interplay between quantum coherence effects, such as shape resonances and shell effects, with the potential to enhance superconductivity, and the multiband structure and the coupling to the substrate that tend to suppress it. The case of magnesium diboride, which is the conventional superconductor with the highest critical temperature, is discussed in detail. Once the effect of the substrate is considered, we still observe quantum size effects such as the oscillation of the critical temperature with the thickness but without a significant enhancement of superconductivity. In thin films with a sufficiently longer superconducting coherence length, it is, however, possible to increase the critical temperature above the bulk limit by tuning the film thickness or lateral size.

cond-mat.mes-hall↗

arXiv2016

Size effects in superconducting thin films coupled to a substrate

Recent experimental advances in surface science have made it possible to track the evolution of superconductivity in films as the thickness enters the nanoscale region where it is expected that the substrate plays an important role. Here, we put forward a mean-field, analytically tractable, model that describes size effects in ultrathin films coupled to the substrate. We restrict our study to one-band, crystalline, weakly coupled superconductors with no impurities. The thin-film substrate/vacuum interfaces are described by a simple asymmetric potential well and a finite quasiparticle lifetime. Boundary conditions are chosen to comply with the charge neutrality condition. This model provides a fair description of experimental results in ultrathin lead films: on average, the superconducting gap decreases with thickness and it is always below the bulk value. Clear oscillations, remnants of the shape resonances, are still observed for intermediate thicknesses. For materials with a weaker electron-phonon coupling and negligible disorder, a modest enhancement of superconductivity seems to be feasible. The relaxation of the charge neutrality condition, which is in principle justified in complex oxide heterostructures and other materials, would lead to a much stronger enhancement of superconductivity by size effects.

cond-mat.supr-con↗

arXiv2015

Drude weight and Mazur-Suzuki bounds in holography

We investigate the Drude weight and the related Mazur-Suzuki (MS) bound in a broad variety of strongly coupled field theories with a gravity dual at finite temperature and chemical potential. We revisit the derivation of the recently proposed universal expression for the Drude weight for Einstein-Maxwell-dilaton (EMd) theories and extend it to the case of theories with multiple massless gauge fields. We show that the MS bound, which in the context of condensed matter provides information on the integrability of the theory, is saturated in these holographic theories including R-charged backgrounds. We then explore the limits of this universality by studying EMd theories with $U(1)$ spontaneous symmetry breaking and gravity duals of non-relativistic field theories including an asymptotically Lifshitz EMd model with two massless gauge fields and the Einstein-Proca model. In all these cases, the Drude weight, computed analytically, deviates from the universal result and the MS bound is not saturated. In general it is not possible to deduce the low temperature dependence of the Drude weight by simple dimensional analysis. Finally we study the effect of a weak breaking of translational symmetry by coupling the EMd action, with and without $U(1)$ spontaneous symmetry breaking, to an axion field. We show the coherent part of the conductivity in this limit is simply the product of the MS bound and the scattering time obtained from the leading quasinormal mode. For asymptotically $AdS$ theories it seems that the MS bound sets a lower bound on the DC conductivity for a given scattering time.

hep-th↗