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Daniel Cangemi

Publications and source records attributed to Daniel Cangemi.

18 recordsLinked to original sources
arXiv2011

Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets

The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference can be crucial in managing systemic risk of a portfolio. In this paper we generalize Merton's option formula in the presence jumps to the multi-asset case. It is shown how common jumps across assets provide an intuitive and powerful tool to describe systemic risk that is consistent with data. The methodology provides a new way to mark and risk-manage systemic risk of portfolios in a systematic way.

q-fin.RM↗
arXiv1997

Boundary states for moving D-branes

We determine the boundary state for both the NS-NS and R-R sectors of superstring theory. We show how they are modified under a boost. The boosted boundary state is then used for computing the interaction of two D-branes moving with constant velocity reproducing with a completely different method a recent calculation by Bachas.

hep-th↗
arXiv1996

Self-Duality and Maximally Helicity Violating QCD Amplitudes

I review some recent work that describes the close analogy between self-dual Yang--Mills amplitudes and QCD amplitudes with external gluons of positive helicity. This analogy is carried at tree level for amplitudes with two external quarks and up to one-loop for amplitudes involving only external gluons.

hep-th↗
arXiv1996

Temperature Expansions for Magnetic Systems

We derive finite temperature expansions for relativistic fermion systems in the presence of background magnetic fields, and with nonzero chemical potential. We use the imaginary-time formalism for the finite temperature effects, the proper-time method for the background field effects, and zeta function regularization for developing the expansions. We emphasize the essential difference between even and odd dimensions, focusing on $2+1$ and $3+1$ dimensions. We concentrate on the high temperature limit, but we also discuss the $T=0$ limit with nonzero chemical potential.

hep-th↗
arXiv1995

Effective Energy for QED$_{2+1}$ with Semi-Localized Static Magnetic Fields: A Solvable Model

We evaluate the exact ${\rm QED}_{2+1}$ effective energy for charged spin zero and spin half fields in the presence of a family of static magnetic field profiles localized in a strip of width $λ$. The exact result yields an infinite set of relations between the terms in the derivative expansion of the effective energy for a general magnetic field. Upon addition of the standard Maxwell magneto-static energy, the minimum energy configuration at fixed flux corresponds to a uniform magnetic field.

hep-th↗
arXiv1994

Anomaly In 2d-Gravity Coupled To Matter Fields

In 1+1 dimensions, the Wheeler-DeWitt equation cannot be imposed owing to an anomaly in its commutator with the diffeomorphism constraint. A similar obstruction prevents also a semiclassical definition of a WKB local time. (Talk given at the 7th Marcel Grossman Meeting on General Relativity, Stanford, July 28, 1994.)

gr-qc↗
arXiv1994

Derivative Expansion of the Effective Action and Vacuum Instability for QED in 2+1 Dimensions

We investigate the effective action of 2+1 dimensional charged spin 1/2 fermions and spin 0 bosons in the presence of a $U(1)$ gauge field. We evaluate terms in an expansion up to second order in derivatives of the field strength, but exactly in the mass parameter and in the magnitude of the nonvanishing constant field strength. We find that in a strong uniform magnetic field background, space-derivative terms lower the energy, and there arises an instability toward inhomogeneous magnetic fields.

hep-th↗
arXiv1993

2-D Gravity as Gauge Theories with Extended Groups

The interaction of matter with gravity in two dimensional spacetimes can be supplemented with a geometrical force analogous to a Lorentz force produced on a surface by a constant perpendicular magnetic field. In the special case of constant curvature, the relevant symmetry does not lead to the de Sitter or the Poincaré algebra but to an extension of them by a central element. This richer structure suggests to construct a gauge theory of 2-D gravity that reproduces the Jackiw-Teitelboim model and the string inspired model. Moreover matter can be coupled in a gauge invariant fashion. Classical and quantized results are discussed. Based on a talk given at the XXIIIth International Conference on Differential Geometric Methods in Theoretical Physics. Ixtapa, Mexico. September 1993.

gr-qc↗
arXiv1993

Extended de Sitter Theory of Two Dimensional Gravitational Forces

We present a simple unifying gauge theoretical formulation of gravitational theories in two dimensional spacetime. This formulation includes the effects of a novel matter-gravity coupling which leads to an extended de Sitter symmetry algebra on which the gauge theory is based. Contractions of this theory encompass previously studied cases.

hep-th↗
arXiv1993

Two Dimensional Gauge Theoretic Supergravities

We investigate two dimensional supergravity theories, which can be built from a topological and gauge invariant action defined on an ordinary surface. We concentrate on four models. The first model is the $N=1$ supersymmetric extension of Jackiw-Teiltelboim model presented by Chamseddine in a superspace formalism. We complement the proof of Montano, Aoaki, and Sonnenschein that this extension is topological and gauge invariant, based on the graded de Sitter algebra. Not only do the equation of motions correspond to the supergravity ones and gauge transformations encompass local supersymmetries, but also we identify the $\int \langle η, F\rangle$-theory with the superfield formalism action written by Chamseddine. Next, we show that the $N=1$ supersymmetric extension of string inspired two dimensional dilaton gravity put forward by Park and Strominger is a theory that satisfies a non-vanishing curvature condition and cannot be written as a $\int\langle η,F\rangle$-theory. As an alternative, we propose two examples of topological and gauge invariant theories that are based on graded extension of the extended Poincaré algebra and satisfy a vanishing curvature condition. Both models are interpreted as supersymmetric extensions of the string inspired dilaton gravity.

hep-th↗
arXiv1993

Poincaré Gauge Theory for Gravitational Forces in (1+1) Dimensions

We discuss in detail how string-inspired lineal gravity can be formulated as a gauge theory based on the centrally extended Poincaré group in $(1+1)$ dimensions. Matter couplings are constructed in a gauge invariant fashion, both for point particles and Fermi fields. A covariant tensor notation is developed in which gauge invariance of the formalism is manifest.

hep-th↗
arXiv1992

Gauge Formulation of the Spinning Black Hole in (2+1)-Dimensional Anti-de Sitter Space

We compute the group element of SO(2,2) associated with the spinning black hole found by Bañados, Teitelboim and Zanelli in (2+1)-dimensional anti-de Sitter space-time. We show that their metric is built with SO(2,2) gauge invariant quantities and satisfies Einstein's equations with negative cosmological constant everywhere except at $r=0$. Moreover, although the metric is singular on the horizons, the group element is continuous and possesses a kink there.

gr-qc↗
arXiv1992

Geometric Gravitational Forces on Particles Moving in a Line

In two-dimensional space-time, point particles can experience a geometric, dimension-specific gravity force, which modifies the usual geodesic equation of motion and provides a link between the cosmological constant and the vacuum $θ$-angle. The description of such forces fits naturally into a gauge theory of gravity based on the extended Poincaré group, {\it i.e.\/} ``string-inspired'' dilaton gravity.

hep-th↗
arXiv1992

One Formulation for both Lineal Gravities through a Dimensional Reduction

The two lineal gravities --- based on the de Sitter group or a central extension of the Poincaré group in 1+1 dimensions --- are shown to derive classically from a unique topological gauge theory. This one is obtained after a dimensional reduction of a Chern--Simons model, which describes pure gravity in 2+1 dimensions, the gauge symmetry being given by an extension of ISO(2,1).

gr-qc↗
arXiv1992

Self-Dual Chern-Simons Solitons in (2+1)-Dimensional Einstein Gravity

We consider here a generalization of the Abelian Higgs model in curved space, by adding a Chern--Simons term. The static equations are self-dual provided we choose a suitable potential. The solutions give a self-dual Maxwell--Chern--Simons soliton that possesses a mass and a spin.

hep-th↗
arXiv1992

Self-Dual Chern-Simons Solitons with Non-Compact Groups

It is shown how to couple non-relativistic matter with a Chern--Simons gauge field that belongs to a non-compact group. We treat in some details the $SL(2,{\bf R})$ and the Poincaré $ISO(2,1)$ groups. For suitable self-interactions, we are able to exhibit soliton solutions.

hep-th↗
arXiv1992

Gauge Invariant Formulations of Lineal Gravity

It is shown that the currently studied ``string-inspired'' model for gravity on a line can be formulated as a gauge invariant theory based on the Poincaré group with central extension -- a formulation that complements and simplifies H.~Verlinde's construction based on the unextended Poincaré group.

hep-th↗