arXiv subjects

Rodanthy Tzani

Publications and source records attributed to Rodanthy Tzani.

4 recordsLinked to original sources

arXiv2009

Correlation breakdown, copula credit default models and arbitrage

The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market inconsistency rather than an inadequacy of the specific model. As a consequence, markets under such conditions are exposed to the possibility of arbitrage. The general construction of arbitrage portfolios under specific conditions is presented.

q-fin.PR↗

arXiv1994

The Heavy Quark Potential in Two-Dimentional QCD with Adjoint Matter

Using a loop formulation approach of QCD$_2$, we study the potential between two heavy quarks in the presence of adjoint scalar fields, and demonstrate how 't Hooft's planar rule is manifested in this formulation. Based on some physical assumptions, we argue that large adjoint loops ``confined'' inside an external fundamental one give a Casimir type contribution to the potential energy, while the small loops only renormalize the string tension. We also extend the results to the case of massive adjoint fields.

hep-th↗

arXiv1994

The Stochastic Quantization Method for Systems with Dissipation

The stochastic quantization of dissipative systems is discussed. It is shown that in order to stochastically quantize a system with dissipation, one has to restrict the Fourier transform of the space-time variable to the positive half domain in the complex plane. This breaks the time-reversal invariance, which manifests in the formulation through the resulting noninvariant forms for the propagators. The relation of the stochastic approach with the Caldeira and Leggett path-integral method is also analyzed.

hep-th↗

arXiv1992

Schrodinger Equation for Particle with Friction

A new quantum mechanical wave equation describing a particle with frictional forces is derived. It depends on a parameter $α$ whose range is determined by the coefficient of friction $γ$, that is, $0 \leq α\leq γ$. For one extreme value of this parameter, $α= 0$, we recover Kostin's equation. For the other extreme value, $α= γ$, we obtain an equation in which friction manifests in "magnetic" type terms. It further exhibits breakdown of translational invariance, manifesting through a symmetry breaking parameter $β$, as well as localized stationary states in the absence of external potentials. Other physical properties of this new class of equations are also discussed.

hep-th↗