The Experts below are selected from a list of 591 Experts worldwide ranked by ideXlab platform
Erik Verlinde - One of the best experts on this subject based on the ideXlab platform.
-
Hartle-Hawking wave-function for flux compactifications: The entropic principle
Letters in Mathematical Physics, 2005Co-Authors: Hirosi Ooguri, Cumrun Vafa, Erik VerlindeAbstract:We argue that the topological string partition function, which has been known to correspond to a wave-function, can be interpreted as an exact “wave-function of the universe” in the mini-superspace sector of Physical superstring theory. This realizes the idea of Hartle and Hawking in the context of string theory, including all loop quantum corrections. The mini-superspace approximation is justified as an exact description of BPS quantities. Moreover this proposal leads to a conceptual explanation of the recent observation that the black hole entropy is the square of the topological string wave-function. This wave-function can be interpreted in the context of flux compactification of all spatial dimensions as providing a Physical Probability distribution on the moduli space of string compactification. Euclidean time is realized holographically in this setup.
-
Hartle–Hawking Wave-Function for Flux Compactifications: the Entropic Principle
Letters in Mathematical Physics, 2005Co-Authors: Hirosi Ooguri, Cumrun Vafa, Erik VerlindeAbstract:We argue that the topological string partition function, which has been known to correspond to a wave-function, can be interpreted as an exact “wave-function of the universe” in the mini-superspace sector of Physical superstring theory. This realizes the idea of Hartle and Hawking in the context of string theory, including all loop quantum corrections. The mini-superspace approximation is justified as an exact description of BPS quantities. Moreover this proposal leads to a conceptual explanation of the recent observation that the black hole entropy is the square of the topological string wave-function. This wave-function can be interpreted in the context of flux compactification of all spatial dimensions as providing a Physical Probability distribution on the moduli space of string compactification. Euclidean time is realized holographically in this setup.
Kris Jacobs - One of the best experts on this subject based on the ideXlab platform.
-
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
Review of Financial Studies, 2013Co-Authors: Peter Christoffersen, Steven L. Heston, Kris JacobsAbstract:We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric evidence to confirm this U-shaped relationship between the risk-neutral and Physical Probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series properties of stock returns with the cross-section of option prices. It provides a unified explanation for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the Physical distribution. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.
-
A GARCH Option Model with Variance-Dependent Pricing Kernel
2011Co-Authors: Steven L. Heston, Kris JacobsAbstract:We develop a GARCH option model with a variance premium by combining the HestonNandi (2000) dynamic with a new pricing kernel. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it appear U-shaped. We present new semi-parametric evidence to con…rm this U-shaped relationship between the risk-neutral and Physical Probability densities. The new pricing kernel substantially improves our ability to reconcile the time series properties of stock returns with the cross-section of option prices. It provides a uni…ed explanation for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the Physical distribution.
-
Which GARCH Model for Option Valuation
Management Science, 2004Co-Authors: Peter Christoffersen, Kris JacobsAbstract:Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time series of asset returns. This paper compares a range of GARCH models along a different dimension, using option prices and returns under the risk-neutral as well as the Physical Probability measure. We judge the relative performance of various models by evaluating an objective function based on option prices. In contrast with returns-based inference, we find that our option-based objective function favors a relatively parsimonious model. Specifically, when evaluated out-of-sample, our analysis favors a model that, besides volatility clustering, only allows for a standard leverage effect.
Tak Kuen Siu - One of the best experts on this subject based on the ideXlab platform.
-
COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
International Journal of Theoretical and Applied Finance, 2001Co-Authors: Hailiang Yang, Tak Kuen SiuAbstract:This paper proposes a risk measure for a portfolio of European-style derivative securities over a fixed time horizon under the Black–Scholes economy. The proposed risk measure is scenario-based along the same line as [3]. The risk measure is constructed by using the risk-neutral Probability ($\mathcal Q$-measure), the Physical Probability ($\mathcal P$-measure) and a family of subjective Probability measures. The subjective probabilities are introduced by using Girsanov's theorem. In this way, we provide risk managers or regulators with the flexibility of adjusting the risk measure according to their risk preferences and subjective beliefs. The advantages of the proposed measure are that it is easy to implement and that it satisfies the four desirable properties introduced in [3], which make it a coherent risk measure. Finally, we incorporate the presence of transaction costs into our framework.
Hirosi Ooguri - One of the best experts on this subject based on the ideXlab platform.
-
Hartle-Hawking wave-function for flux compactifications: The entropic principle
Letters in Mathematical Physics, 2005Co-Authors: Hirosi Ooguri, Cumrun Vafa, Erik VerlindeAbstract:We argue that the topological string partition function, which has been known to correspond to a wave-function, can be interpreted as an exact “wave-function of the universe” in the mini-superspace sector of Physical superstring theory. This realizes the idea of Hartle and Hawking in the context of string theory, including all loop quantum corrections. The mini-superspace approximation is justified as an exact description of BPS quantities. Moreover this proposal leads to a conceptual explanation of the recent observation that the black hole entropy is the square of the topological string wave-function. This wave-function can be interpreted in the context of flux compactification of all spatial dimensions as providing a Physical Probability distribution on the moduli space of string compactification. Euclidean time is realized holographically in this setup.
-
Hartle–Hawking Wave-Function for Flux Compactifications: the Entropic Principle
Letters in Mathematical Physics, 2005Co-Authors: Hirosi Ooguri, Cumrun Vafa, Erik VerlindeAbstract:We argue that the topological string partition function, which has been known to correspond to a wave-function, can be interpreted as an exact “wave-function of the universe” in the mini-superspace sector of Physical superstring theory. This realizes the idea of Hartle and Hawking in the context of string theory, including all loop quantum corrections. The mini-superspace approximation is justified as an exact description of BPS quantities. Moreover this proposal leads to a conceptual explanation of the recent observation that the black hole entropy is the square of the topological string wave-function. This wave-function can be interpreted in the context of flux compactification of all spatial dimensions as providing a Physical Probability distribution on the moduli space of string compactification. Euclidean time is realized holographically in this setup.
Liangzhi Cao - One of the best experts on this subject based on the ideXlab platform.
-
The on-the-fly subgroup method capable of treating spatial self-shielding, resonance interference and temperature distribution effects
Progress in Nuclear Energy, 2020Co-Authors: Jun Chen, Zhouyu Liu, Liangzhi CaoAbstract:Abstract The pseudo-resonant-nuclide subgroup method (PRNSM) based global-local self-shielding calculation scheme was recently developed to resolve the spatial self-shielding and resonance interference effects for large-scale problems. But the PRNSM is not able to treat non-uniform temperature distribution. The reason is that the PRNSM generates Physical Probability tables at different temperatures with inconsistent subgroup probabilities. To overcome this defect, the on-the-fly subgroup method (OSM), which is an improvement of the PRNSM, is proposed. The new method generates the Physical Probability tables for different temperatures with shared subgroup probabilities and is able to treat non-uniform temperature distribution. This method replaces the PRNSM in the global-local self-shielding calculation scheme and is implemented in the high-fidelity neutronics code NECP-X. The numerical results show that the OSM can treat the spatial self-shielding effect, the resonance interference effect and the non-uniform temperature effect simultaneously. Besides, NECP-X is able to predict fuel temperature coefficients with high accuracy.
-
Extension of the subgroup method for self-shielding calculation of fully ceramic micro-encapsulated fuel
Annals of Nuclear Energy, 2020Co-Authors: Wen Yin, Zhouyu Liu, Liangzhi CaoAbstract:Abstract Two extension schemes based on the subgroup method are proposed to treat the double heterogeneity (DH) of fully ceramic micro-encapsulated (FCM) fuels. The first one is the hyper-fine energy group cross section (XS) correction scheme (HFCS), which corrects the hyper-fine energy group XSs with hyper-fine energy group disadvantage factors (DFs) before generation of resonance XS table and Physical Probability table. The second one is the subgroup XS correction scheme (SGCS), which corrects the subgroup XSs with subgroup DFs calculated by the equivalent homogenization method. These two scheme are implemented in the high-fidelity neutronics code NECP-X. A series cases are tested and the numerical results show that both of the HFCS and the SGCS can treat the DH and the precision of the HFCS is higher than that of the SGCS.