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Jochen Zahn

Publications and source records attributed to Jochen Zahn.

46 records · Page 3Linked to original sources

Utility based pricing and hedging of jump diffusion processes with a view to applications

We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these by a re-interpretation of the framework. This leads to the notion of an implied drift. We also present a heuristic derivation of the marginal indifference price and the marginal optimal hedge that might be useful in numerical computations.

q-fin.CP↗

Divergences in QFT on the Noncommutative Minkowski Space with Grosse-Wulkenhaar potential

We study quantum field theory on the two-dimensional Noncommutative Minkoswki space with a Grosse-Wulkenhaar potential. We explicitly construct the retarded propagator and show that it is not a tempered distribution. This leads to problems when trying to define planar products of such distributions, as they appear in the Yang-Feldman series. At and above the self-dual point, these can no longer be defined, not even at different points. This shows that we do not deal with an ordinary ultraviolet divergence.

hep-th↗

Divergences in quantum field theory on the noncommutative two-dimensional Minkowski space with Grosse-Wulkenhaar potential

Quantum field theory on the noncommutative two-dimensional Minkowski space with Grosse-Wulkenhaar potential is discussed in two ways: In terms of a continuous set of generalised eigenfunctions of the wave operator, and directly in position space. In both settings, we find a new type of divergence in planar graphs. It is present at and above the self-dual point. This new kind of divergence might make the construction of a Minkowski space version of the Grosse-Wulkenhaar model impossible.

hep-th↗

The wave front set of oscillatory integrals with inhomogeneous phase function

A generalized notion of oscillatory integrals that allows for inhomogeneous phase functions of arbitrary positive order is introduced. The wave front set of the resulting distributions is characterized in a way that generalizes the well-known result for phase functions that are homogeneous of order one.

math.AP↗

Noncommutative (supersymmetric) electrodynamics in the Yang-Feldman formalism

We study quantum electrodynamics on the noncommutative Minkowski space in the Yang-Feldman formalism. Local observables are defined by using covariant coordinates. We compute the two-point function of the interacting field strength to second order and find the infrared divergent terms already known from computations using the so-called modified Feynman rules. It is shown that these lead to nonlocal renormalization ambiguities. Also new nonlocal divergences stemming from the covariant coordinates are found. Furthermore, we study the supersymmetric extension of the model. For this, the supersymmetric generalization of the covariant coordinates is introduced. We find that the nonlocal divergences cancel. At the one-loop level, the only effect of noncommutativity is then a momentum-depenent field strength normalization. We interpret it as an acausal effect and show that its range is independent of the noncommutativity scale.

hep-th↗

Dispersion relations in the noncommutative ϕ^3 and Wess-Zumino model in the Yang-Feldman formalism

We study dispersion relations in the noncommutative ϕ^3 and Wess-Zumino model in the Yang-Feldman formalism at one-loop order. Nonplanar graphs lead to a distortion of the dispersion relation. We find that the strength of this effect is moderate if the scale of noncommutativity is identified with the Planck scale and parameters typical for a Higgs field are employed. The contribution of the nonplanar graphs is calculated rigorously using the framework of oscillatory integrals.

hep-th↗

Dispersion relations in quantum electrodynamics on the noncommutative Minkowski space

We study field theories on the noncommutative Minkowski space with noncommuting time. The focus lies on dispersion relations in quantized interacting models in the Yang-Feldman formalism. In particular, we compute the two-point correlation function of the field strength in noncommutative quantum electrodynamics to second order. At this, we take into account the covariant coordinates that allow the construction of local gauge invariant quantities (observables). It turns out that this does not remove the well-known severe infrared problem, as one might have hoped. Instead, things become worse, since nonlocal divergences appear. We also show that these cancel in a supersymmetric version of the theory if the covariant coordinates are adjusted accordingly. Furthermore, we study the phi^3 and the Wess-Zumino model and show that the distortion of the dispersion relations is moderate for parameters typical for the Higgs field. We also disuss the formulation of gauge theories on noncommutative spaces and study classical electrodynamics on the noncommutative Minkowski space using covariant coordinates. In particular, we compute the change of the speed of light due to nonlinear effects in the presence of a background field. Finally, we examine the so-called twist approach to quantum field theory on the noncommutative Minkowski space and point out some conceptual problems of this approach.

hep-th↗

Remarks on twisted noncommutative quantum field theory

We review recent results on twisted noncommutative quantum field theory by embedding it into a general framework for the quantization of systems with a twisted symmetry. We discuss commutation relations in this setting and show that the twisted structure is so rigid that it is hard to derive any predictions, unless one gives up general principles of quantum theory. It is also shown that the twisted structure is not responsible for the presence or absence of UV/IR-mixing, as claimed in the literature.

hep-th↗

Infrared cutoffs and the adiabatic limit in noncommutative spacetime

We discuss appropriate infrared cutoffs and their adiabatic limit for field theories on the noncommutative Minkowski space in the Yang-Feldman formalism. In order to do this, we consider a mass term as interaction term. We show that an infrared cutoff can be defined quite analogously to the commutative case and that the adiabatic limit of the two-point function exists and coincides with the expectation, to all orders.

hep-th↗

Noncommutative Electrodynamics with covariant coordinates

We study Noncommutative Electrodynamics using the concept of covariant coordinates. We propose a scheme for interpreting the formalism and construct two basic examples, a constant field and a plane wave. Superposing these two, we find a modification of the dispersion relation. Our results differ from those obtained via the Seiberg-Witten map.

hep-th↗