arXiv subjects

Paolo Spezzati

Publications and source records attributed to Paolo Spezzati.

4 recordsLinked to original sources

arXiv2025

Defaultable bond liquidity spread estimation: an option-based approach

This paper extends an option-theoretic approach to estimate liquidity spreads for corporate bonds. Inspired by Longstaff's equity market framework and subsequent work by Koziol and Sauerbier on risk-free zero-coupon bonds, the model views liquidity as a look-back option. The model accounts for the interplay of risk-free rate volatility and credit risk. A numerical analysis highlights the impact of these factors on the liquidity spread, particularly for bonds with different maturities and credit ratings. The methodology is applied to estimate the liquidity spread for unquoted bonds, with a specific case study on the Republic of Italy's debt, leveraging market data to calibrate model parameters and classify liquid versus illiquid emissions. This approach provides a robust tool for pricing illiquid bonds, emphasizing the importance of marketability in debt security valuation.

q-fin.PR↗

arXiv2021

Mildly Flavoring domain walls in SU(N) SQCD: baryons and monopole superpotentials

We study supersymmetric domain walls of four dimensional $SU(N)$ SQCD with $N$ and $N+1$ flavors. In $4d$ we analyze the BPS differential equations numerically. In $3d$ we propose the $\mathcal{N}=1$ Chern-Simons-Matter gauge theories living on the walls. Compared with the previously studied regime of $F<N$ flavors, we encounter a couple of novelties: with $N$ flavors, there are solutions/vacua breaking the $U(1)$ baryonic symmetry; with $N+1$ flavors, our $3d$ proposal includes a linear monopole operator in the superpotential.

hep-th↗

arXiv2021

Mildly Flavoring Domain Walls in Sp(N) SQCD

We consider supersymmetric domain walls of four-dimensional $\mathcal{N}\!=\!1$ $Sp(N)$ SQCD with $F\!=\!N+1$ and $F\!=\!N+2$ flavors. First, we study numerically the differential equations defining the walls, classifying the solutions. When $F\!=\!N+2$, in the special case of the parity-invariant walls, the naive analysis does not provide all the expected solutions. We show that an infinitesimal deformation of the differential equations sheds some light on this issue. Second, we discuss the $3d$ $\mathcal{N}\!=\!1$ Chern-Simons-matter theories that should describe the effective dynamics on the walls. These proposals pass various tests, including dualities and matching of the vacua of the massive $3d$ theory with the $4d$ analysis. However, for $F\!=\!N+2$, the semiclassical analysis of the vacua is only partially successful, suggesting that yet-to-be-understood strong coupling phenomena are into play in our $3d$ $\mathcal{N}\!=\!1$ gauge theories.

hep-th↗

arXiv2019

Uplifts of maximal supergravities and transitions to non-geometric vacua

We describe a new procedure to obtain consistent backgrounds that uplift vacua and deformations of various maximal gauged supergravities by taking a known solution and performing singular limits along the moduli space of the corresponding 4-dimensional theory. We then apply this procedure to the S^3 x H^{2,2} background that provides the uplift of 4-dimensional Minkowski vacua of maximal supergravity with gauge group [SO(4) x SO(2,2)] $\ltimes$ R^{16}. We find that the newly generated vacua are generally only locally geometric and correspond to asymmetric orbifolds, Q-flux backgrounds or combinations thereof. We also provide the uplift to eleven dimensions of all the four-parameter Cremmer-Scherk-Schwarz gaugings.

hep-th↗