arXiv subjects

Lorenzo Cornalba

Publications and source records attributed to Lorenzo Cornalba.

At least 19 recordsLinked to original sources

arXiv2014

Funding Value Adjustment and Incomplete Markets

Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is reflected in the non-uniqueness of the pricing measure, which is only constrained by the values of the hedging instruments tradable by the investor. Uncollateralized trades should then be considered not as derivatives but as new primary assets in the investor's economy. Different choices of the risk-neutral measure correspond to different completions of the market, based on the risk appetite of the investor, leading to different levels of value adjustments. We recover, in limiting cases, results well known in the literature.

q-fin.PR↗

arXiv2011

AdS black disk model for small-x DIS

Using the approximate conformal invariance of QCD at high energies we consider a simple AdS black disk model to describe saturation in DIS. Deep inside saturation the structure functions have the same power law scaling, F_T ~ F_L ~ 1/x^w, where w is related to the expansion rate of the black disk with energy. Furthermore, the ratio F_L /F_T is given by the universal value (1+w)/(3+w), independently of the target. For virtual photon-photon scattering at high energies we obtain explicit expressions and ratios for the total cross sections of transverse and longitudinal photons in terms of the single parameter w.

hep-ph↗

arXiv2010

Deep Inelastic Scattering in Conformal QCD

We consider the Regge limit of a CFT correlation function of two vector and two scalar operators, as appropriate to study small-x deep inelastic scattering in N=4 SYM or in QCD assuming approximate conformal symmetry. After clarifying the nature of the Regge limit for a CFT correlator, we use its conformal partial wave expansion to obtain an impact parameter representation encoding the exchange of a spin j Reggeon for any value of the coupling constant. The CFT impact parameter space is the three-dimensional hyperbolic space H3, which is the impact parameter space for high energy scattering in the dual AdS space. We determine the small-x structure functions associated to the exchange of a Reggeon. We discuss unitarization from the point of view of scattering in AdS and comment on the validity of the eikonal approximation. We then focus on the weak coupling limit of the theory where the amplitude is dominated by the exchange of the BFKL pomeron. Conformal invariance fixes the form of the vector impact factor and its decomposition in transverse spin 0 and spin 2 components. Our formalism reproduces exactly the general results predict by the Regge theory, both for a scalar target and for gamma*-gamma* scattering. We compute current impact factors for the specific examples of N=4 SYM and QCD, obtaining very simple results. In the case of the R-current of N=4 SYM, we show that the transverse spin 2 component vanishes. We conjecture that the impact factors of all chiral primary operators of N=4 SYM only have components with 0 transverse spin.

hep-th↗

arXiv2009

Saturation in Deep Inelastic Scattering from AdS/CFT

We analyze deep inelastic scattering at small Bjorken x, using the approximate conformal invariance of QCD at high energies. Hard pomeron exchanges are resummed eikonally, restoring unitarity at large values of the phase shift in the dual AdS geometry. At weak coupling this phase is imaginary, corresponding to a black disk in AdS. In this saturated regime, cross sections exhibit geometric scaling and have a simple universal form, which we test against available experimental data for the proton structure function F_2(x,Q^2). We predict, in particular, the dependence of the cross section on the scaling variable (Q/Q_s)^2 in the deeply saturated region, where Q_s is the usual saturation scale. We find agreement with current data on F_2 in the kinematical region 0.5 < Q^2 < 10 GeV^2, x < 10^-2, with an average 6% accuracy. We conclude by discussing the relation of our approach with the commonly used dipole formalism.

hep-ph↗

arXiv2008

Eikonal Methods in AdS/CFT: Regge Theory and Multi-Reggeon Exchange

We analyze conformal field theory 4-point functions of the form A ~ O_1(x_1) O_2(x_2) O_1(x_3) O_2(x_4), where the operators O_i are scalar primaries. We show that, in the Lorentzian regime, the limit x_1 -> x_3 is dominated by the exchange of conformal partial waves of highest spin. When partial waves of arbitrary spin contribute to A, the behavior of the Lorentzian amplitude for x_1 -> x_3 must be analyzed using complex-spin techniques, leading to a generalized Regge theory for CFT's. Whenever the CFT is dual to a string theory, the string tree-level contribution A_tree to the amplitude A presents a Regge pole corresponding the a gravi-reggeon exchange. In this case, we apply the impact parameter representation for CFT amplitudes, previously developed, to analyze multiple reggeon exchanges in the eikonal limit. As an example, we apply these general techniques to N=4 super-Yang-Mills theory in d=4 in the limit of large 't Hooft coupling, including the leading string corrections to pure graviton exchange.

hep-th↗

arXiv2008

Eikonal Methods in AdS/CFT: BFKL Pomeron at Weak Coupling

We consider correlators of N=4 super Yang Mills of the form A ~ < O_1 O_2 O*_1 O*_2 >, where the operators O_1 and O_2 are scalar primaries. In particular, we analyze this correlator in the planar limit and in a Lorentzian regime corresponding to high energy interactions in AdS. The planar amplitude is dominated by a Regge pole whose nature varies as a function of the 't Hooft coupling g^2. At large g, the pole corresponds to graviton exchange in AdS, whereas at weak g, the pole is that of the hard perturbative BFKL pomeron. We concentrate on the weak coupling regime and analyze pomeron exchange directly in position space. The analysis relies heavily on the conformal symmetry of the transverse space E^2 and of its holographic dual hyperbolic space H_3, describing with an unified language, both the weak and strong 't Hooft coupling regimes. In particular, the form of the impact factors is highly constrained in position space by conformal invariance. Finally, the analysis suggests a possible AdS eikonal resummation of multi-pomeron exchanges implementing AdS unitarity, which differs from the usual 4-dimensional eikonal exponentiation. Relations to violations of 4-dimensional unitarity at high energy and to the onset of nonlinear effects and gluon saturation become immediate questions for future research.

hep-th↗

arXiv2007

Eikonal Approximation in AdS/CFT: Resumming the Gravitational Loop Expansion

We derive an eikonal approximation to high energy interactions in Anti-de Sitter spacetime, by generalizing a position space derivation of the eikonal amplitude in flat space. We are able to resum, in terms of a generalized phase shift, ladder and cross ladder graphs associated to the exchange of a spin j field, to all orders in the coupling constant. Using the AdS/CFT correspondence, the resulting amplitude determines the behavior of the dual conformal field theory four point function < O_1 O_2 O_1 O_2 > for small values of the cross ratios, in a Lorentzian regime. Finally we show that the phase shift is dominated by graviton exchange and computes, in the dual CFT, the anomalous dimension of the double trace primary operators O_1 \partial ... \partial O_2 of large dimension and spin, corresponding to the relative motion of the two interacting particles. The results are valid at strong t'Hooft coupling and are exact in the 1/N expansion.

hep-th↗

arXiv2006

From Fundamental Strings to Small Black Holes

We give evidence in favour of a string/black hole transition in the case of BPS fundamental string states of the Heterotic string. Our analysis goes beyond the counting of degrees of freedom and considers the evolution of dynamical quantities in the process. As the coupling increases, the string states decrease their size up to the string scale when a small black hole is formed. We compute the absorption cross section for several fields in both the black hole and the perturbative string phases. At zero frequency, these cross sections can be seen as order parameters for the transition. In particular, for the scalars fixed at the horizon the cross section evolves to zero when the black hole is formed.

hep-th↗

arXiv2006

Eikonal Approximation in AdS/CFT: Conformal Partial Waves and Finite N Four-Point Functions

We introduce the impact-parameter representation for conformal field theory correlators of the form A ~ < O_1 O_2 O_1 O_2 >. This representation is appropriate in the eikonal kinematical regime, and approximates the conformal partial-wave decomposition in the limit of large spin and dimension of the exchanged primary. Using recent results on the two-point function < O_1 O_1 >_{shock} in the presence of a shock wave in Anti-de Sitter, and its relation to the discontinuity of the four-point amplitude A across a kinematical branch-cut, we find the high spin and dimension conformal partial- wave decomposition of all tree-level Anti-de Sitter Witten diagrams. We show that, as in flat space, the eikonal kinematical regime is dominated by the T-channel exchange of the massless particle with highest spin (graviton dominance). We also compute the anomalous dimensions of the high-spin O_1 O_2 composites. Finally, we conjecture a formula re-summing crossed-ladder Witten diagrams to all orders in the gravitational coupling.

hep-th↗

arXiv2006

Unitarity in the Presence of Closed Timelike Curves

We conjecture that, in certain cases, quantum dynamics is consistent in the presence of closed timelike curves. We consider time dependent orbifolds of three dimensional Minkowski space describing, in the limit of large AdS radius, BTZ black holes inside the horizon. Although perturbative unitarity fails, we show that, for discrete values of the gravitational coupling, particle propagation is consistent with unitarity. This quantization corresponds to the quantization of the black hole angular momentum, as expected from the dual CFT description. Note, however, that we recover this result by analyzing the physics inside the horizon and near the singularity. The spacetime under consideration has no AdS boundary, and we are therefore not using any assumption regarding a possible dual formulation. We perform the computation at very low energies, where string effects are irrelevant and interactions are dominated by graviton exchange in the eikonal regime. We probe the non-causal structure of space-time to leading order, but work to all orders in the gravitational coupling.

hep-th↗

arXiv2005

D-Brane Dynamics in Constant Ramond-Ramond Potentials, S-Duality and Noncommutative Geometry

We study the physics of D-branes in the presence of constant Ramond-Ramond potentials. In the string field theory context, we first develop a general formalism to analyze open strings in gauge trivial closed string backgrounds, and then apply it both to the RNS string and within Berkovits' covariant formalism, where the results have the most natural interpretation. The most remarkable finding is that, in the presence of a Dp-brane, both a constant parallel NS-NS B-field and R-R C^(p-1)-field do not solve the open/closed equations of motion, and induce the same non-vanishing open string tadpole. After solving the open string equations in the presence of this tadpole, and after gauging away the closed string fields, one is left with a U(1) field strength on the brane given by F=(1/2)(B-*C^(p-1)), where * is Hodge duality along the brane world-volume. One observes that this result differs from the usually assumed result F=B. Technically, this is due to the fact that supersymmetric and bosonic string world-sheet theories are different. Note, however, that the usual F+B combination is still the combination which remains gauge invariant at the sigma-model level. Also, the standard result F=B is, in the D3-brane case, not compatible with S-duality. On the other hand our result, which is derived automatically given the general formalism, offers a non-trivial check of S-duality, to all orders in F, and this leads to a S-dual invariant Moyal deformation. In an appendix, we solve the source equation describing the open superstring in a generic NS-NS and R-R closed string background, within the super Poincare covariant formalism.

hep-th↗

arXiv2005

Time-dependent Orbifolds and String Cosmology

In these lectures, we review the physics of time-dependent orbifolds of string theory, with particular attention to orbifolds of three-dimensional Minkowski space. We discuss the propagation of free particles in the orbifold geometries, together with their interactions. We address the issue of stability of these string vacua and the difficulties in defining a consistent perturbation theory, pointing to possible solutions. In particular, it is shown that resumming part of the perturbative expansion gives finite amplitudes. Finally we discuss the duality of some orbifold models with the physics of orientifold planes, and we describe cosmological models based on the dynamics of these orientifolds.

hep-th↗

arXiv2005

Coleman meets Schwinger

It is well known that spherical D-branes are nucleated in the presence of an external RR electric field. Using the description of D-branes as solitons of the tachyon field on non-BPS D-branes, we show that the brane nucleation process can be seen as the decay of the tachyon false vacuum. This process can describe the decay of flux-branes in string theory or the decay of quintessence potentials arising in flux compactifications.

hep-th↗

arXiv2004

Towards Quantum Dielectric Branes: Curvature Corrections in Abelian Beta Function and Nonabelian Born-Infeld Action

We initiate a programme to compute curvature corrections to the nonabelian BI action. This is based on the calculation of derivative corrections to the abelian BI action, describing a maximal brane, to all orders in F. An exact calculation in F allows us to apply the SW map, reducing the maximal abelian point of view to a minimal nonabelian point of view (replacing 1/F with [X,X] at large F), resulting in matrix model equations of motion. We first study derivative corrections to the abelian BI action and compute the 2-loop beta function for an open string in a WZW (parallelizable) background. This beta function is the first step in the process of computing string equations of motion, which can be later obtained by computing the Weyl anomaly coefficients or the partition function. The beta function is exact in F and computed to orders O(H,H^2,H^3) (H=dB and curvature is R ~ H^2) and O(DF,D^2F,D^3F). In order to carry out this calculation we develop a new regularization method for 2-loop graphs. We then relate perturbative results for abelian and nonabelian BI actions, by showing how abelian derivative corrections yield nonabelian commutator corrections, at large F. We begin the construction of a matrix model describing \a' corrections to Myers' dielectric effect. This construction is carried out by setting up a perturbative classification of the relevant nonabelian tensor structures, which can be considerably narrowed down by the constraint of translation invariance in the action and the possibility for generic field redefinitions. The final matrix action is not uniquely determined and depends upon two free parameters. These parameters could be computed via further calculations in the abelian theory.

hep-th↗

arXiv2001

Nonassociative Star Product Deformations for D-brane Worldvolumes in Curved Backgrounds

We investigate the deformation of D-brane world-volumes in curved backgrounds. We calculate the leading corrections to the boundary conformal field theory involving the background fields, and in particular we study the correlation functions of the resulting system. This allows us to obtain the world-volume deformation, identifying the open string metric and the noncommutative deformation parameter. The picture that unfolds is the following: when the gauge invariant combination ω= B + F is constant one obtains the standard Moyal deformation of the brane world-volume. Similarly, when dω= 0 one obtains the noncommutative Kontsevich deformation, physically corresponding to a curved brane in a flat background. When the background is curved, H = dω\not= 0, we find that the relevant algebraic structure is still based on the Kontsevich expansion, which now defines a nonassociative star product with an A_\infty homotopy associative algebraic structure. We then recover, within this formalism, some known results of Matrix theory in curved backgrounds. In particular, we show how the effective action obtained in this framework describes, as expected, the dielectric effect of D-branes. The polarized branes are interpreted as a soliton, associated to the condensation of the brane gauge field.

hep-th↗

arXiv2001

Flux-branes and the Dielectric Effect in String Theory

We consider the generalization to String and M-theory of the Melvin solution. These are flux p-branes which have (p+1)-dimensional Poincare invariance and are associated to an electric (p+1)-form field strength along their worldvolume. When a stack of Dp-branes is placed along the worldvolume of a flux (p+3)-brane it will expand to a spherical D(p+2)-brane due to the dielectric effect. This provides a new setup to consider the gauge theory/gravity duality. Compactifying M-theory on a circle we find the exact gravity solution of the type IIA theory describing the dielectric expansion of N D4-branes into a spherical bound state of D4-D6-branes, due to the presence of a flux 7-brane. In the decoupling limit, the deformation of the dual field theory associated with the presence of the flux brane is irrelevant in the UV. We calculate the gravitational radius and energy of the dielectric brane which give, respectively, a prediction for the VEV of scalars and vacuum energy of the dual field theory. Consideration of a spherical D6-brane probe with n units of D4-brane charge in the dielectric brane geometry suggests that the dual theory arises as the Scherk-Schwarz reduction of the M5-branes (2,0) conformal field theory. The probe potential has one minimum placed at the locus of the bulk dielectric brane and another associated to an inner dielectric brane shell.

hep-th↗

arXiv2000

Option Pricing and Hedging with Temporal Correlations

We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for Gaussian price increments, the correlations are irrelevant, and the Black-Scholes formula holds with the volatility of the price increments on the scale of the re-hedging. For non-Gaussian processes, further non trivial corrections to the `smile' are brought about by the correlations, even when the hedge is the Black-Scholes Delta-hedge. We introduce a compact notation which eases the computations and could be of use to deal with more complicated models.

cond-mat↗

arXiv1999

Matrix Theory Star Products from the Born-Infeld Action

We conjecture that the Sen-Seiberg limit of the Type IIA D2-brane action in a flat spacetime background can be resummed, at all orders in α', to define an associative star product on the membrane. This star product can be independently constrained from the equivalent Matrix theory description of the corresponding M2-brane, by carefully analyzing the known BPS conditions. Higher derivative corrections to the Born-Infeld action on the IIA side are reinterpreted, after the Sen-Seiberg limit, as higher derivative corrections to a field theory on the membrane, which itself can be resummed to yield the known Matrix theory quantum mechanics action. Conversely, given the star product on the membrane as a formal power series in α', one can constrain the higher derivative corrections to the Born-Infeld action, in the Sen-Seiberg limit. This claim is explicitly verified to first order. Finally, we also comment on the possible application of this method to the derivation of the Matrix theory action for membranes in a curved background.

hep-th↗