The sensitivity analysis of propagator for path independent quantum finance model

Quantum finance successfully implements the imperfectly correlated fluctuation of forward interest rates at different maturities, by replacing the Wiener process with a two-dimensional quantum field. Interest rate derivatives can be priced at a more realistic value under this new framework. The quantum finance model requires three main ingredients for pricing: the initial forward interest rates, the volatility of forward interest rates, and the correlation of forward interest rates at different maturities. However, the hedging strategy only focused on fluctuation of forward interest rates. This hedging method is based on the assumption that the propagator, the covariance of forward interest rates, has an ergodic property. Since inserting the propagator is the main characteristic that distinguishes quantum finance from the Libor market model (LMM) and the Heath, Jarrow and Morton (HJM) model, understanding the impact of propagator dynamics on the price of interest rate derivatives is crucial. This research is the first step in developing a hedge strategy with respect to the evolution of the propagator. We analyze the dynamics of the propagator from Libor futures data and the integrated propagator from zero-coupon bond rate data. Then we study the sensitivity of the implied volatility of caplets and swaptions according to the three dominant dynamics of the propagator, and the change of the zero-coupon bond option price according to the two dominant dynamics of the integrated propagator.     

国债远期利率的量子场理论模型构建

随着我国利率市场化改革的全面推进和利率衍生品数量的增加,如何对远期利率进行精确与合理建模,就显得十分重要和紧迫.本文利用金融物理学中可有效纳入日历时间和到期时间两个维度上的国债远期利率之间不完全相关性的量子场论方法,对2011年1月4日到2016年12月30日的国债瞬时远期利率的实际市场演化进行建模,并将其结果与传统金融只能考虑日历时间方向上的相关性的主流两因子Heath-Jarrow-Morton (HJM)模型的实证结果进行比较.研究结果表明,考虑心理感知剩余时间变量后的量子场理论模型,提供了对实际的国债远期利率的92.67%的拟合优度,优于经典的最优两因子HJM模型69.02%的拟合精度.此外,分别将估计所得的最优参数代入最优量子场理论模型和两因子HJM模型下的远期利率更新方程,对2017年1月3日到2017年12月30日的100个期限的瞬时远期利率的250个瞬时远期利率的期限结构进行回测检验,从平均瞬时远期利率、均方根误差和Theil不等系数三个方面的结果均显示出量子场理论模型对国债远期利率建模的优越性.这些结果对将量子场理论引入到以国债为标的各种金融产品的定价和相关的利率风险管理、银行和金融公司的量化分析以及固定收益证券领域的实践者们均具有重要意义.     

Interest rates in quantum finance: Caps, swaptions and bond options

The prices of the main interest rate options in the financial markets, derived from the Libor (London Interbank Overnight Rate), are studied in the quantum finance model of interest rates. The option prices show new features for the Libor Market Model arising from the fact that, in the quantum finance formulation, all the different Libor payments are coupled and (imperfectly) correlated.Black’s caplet formula for quantum finance is given an exact path integral derivation. The coupon and zero coupon bond options as well as the Libor European and Asian swaptions are derived in the framework of quantum finance. The approximate Libor option prices are derived using the volatility expansion.The BGM-Jamshidian (Gatarek et al. (1996) [1], Jamshidian (1997) [2]) result for the Libor swaption prices is obtained as the limiting case when all the Libors are exactly correlated. A path integral derivation is given of the approximate BGM-Jamshidian approximate price.     

Simulation of nonlinear interest rates in quantum finance: Libor Market Model

The simulation of the Libor Market Model (LMM) is extensively studied in the framework of quantum finance. The imperfectly correlated Libor rates are simulated based on a Gaussian quantum field and a recursion equation of nontrivial stochastic drift. The Libor options are studied using both the simulation method and the analytical formula. The caplet price of simulation is compared with Black’s caplet formula which can be exactly derived from the LMM. The invariance of caplet price for different forward bond numeraire is verified by using the simulation. The simulation results for coupon bond options and swaptions are compared with the approximate price, which are limited for the reason that the approximate price is derived using the small volatility expansion. The simulation method is shown to have great potential in the application of pricing interest rate instruments.     

Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet

The industry standard for pricing an interest-rate caplet is Black's formula. Another distinct price of the same caplet can be derived using a quantum field theory model of the forward interest rates. An empirical study is carried out to compare the two caplet pricing formulae. Historical volatility and correlation of forward interest rates are used to generate the field theory caplet price; another approach is to fit a parametric formula for the effective volatility using market caplet price. The study shows that the field theory model generates the price of a caplet and cap fairly accurately. Black's formula for a caplet is compared with field theory pricing formula. It is seen that the field theory formula for caplet price has many advantages over Black's formula.     

Simulation of the electrical characteristics of a one-dimensional quantum dot array

A quantum dot array, consisting of Au dots, was prepared by the linear aggregation technique and assembled between two electrodes. We study the voltage–current characteristic of the quantum dot array, using a Non-Equilibrium Green’s Function (NEGF) model based on the Keldysh formalism. The results of our simulation and experimental data are compared. The simulated voltage–current curve is a reasonable fit with the measured data. It shows that the present model can be used to study quantum dot arrays. Furthermore, our results indicate that the electrical characteristics of an Au dot array are directly related to the coupling parameters.     

Excitation of radial collective modes in a quantum dot: Beyond linear response

The recent results on the linear breathing mode of the excitation spectrum of a quantum dot obtained by McDonald et. al [Phys. Rev. Lett. 111 , 256801 (2013)] are extended to the nonlinear regime. To accomplish this and analyze the results the response of five different models of two interacting electrons in a quantum dot to an external short lived radial excitation that is strong enough to excite the system well beyond the linear response regime is compared. The models considered describe the Coulomb interaction between the electrons in different ways ranging from mean‐field approaches to configuration interaction (CI) models, where the two‐electron Hamiltonian is diagonalized in a large truncated Fock space. The radially symmetric excitation is selected in order to severely put to test the different approaches to describe the interaction and correlations of an electron system in a nonequilibrium state. As can be expected for the case of only two electrons none of the mean‐field models can in full details reproduce the results obtained by the CI model. Nonetheless, some linear and nonlinear characteristics are reproduced reasonably well. All the models show activation of an increasing number of collective modes as the strength of the excitation is increased. By varying slightly the confinement potential of the dot it was observed how sensitive the properties of the excitation spectrum are to the Coulomb interaction and its correlation effects. In order to approach closer the question of nonlinearity one of the mean‐field models has been solved directly in a nonlinear fashion without resorting to iterations.     

Inflationary Cosmology with Quantum Gravitational Effects and Swampland Conjectures *

Recently proposed two swampland criteria that arising from string theory landscape leads to the important challenge of the realization of single-field inflationary models. Especially one of swampland criteria which implies a large tensor-to-scalar ratio is strongly in tension with recent observational results. In this paper, we explore the possibility the swampland conjectures could be compatible with single-field inflationary scenarios if the effects due to the quantum theory of gravity are considered. We show that the quantum gravitational effects due to the nonlinear dispersion relation provides significant modifications on the amplitude of both the scalar and tensor perturbation spectra. Such modifications could be either raise or reduce the perturbation spectra depending on the values of the parameters in the nonlinear terms of the dispersion relations. Therefore, these effects can reduce the tensor-to-scalar ratio to a smaller value, which helps to relax the tension between the swampland conjecture and observational data.     

Dynamical decoherence of a qubit coupled to a quantum dot or the SYK black hole

We study the dynamical decoherence of a qubit weakly coupled to a two-body random interaction model (TBRIM) describing a quantum dot of interacting fermions or the Sachdev–Ye–Kitaev (SYK) black hole model. We determine the rates of qubit relaxation and dephasing for regimes of dynamical thermalization of the quantum dot or of quantum chaos in the SYK model. These rates are found to correspond to the Fermi golden rule and quantum Zeno regimes depending on the qubit–fermion coupling strength. An unusual regime is found where these rates are practically independent of TBRIM parameters. We push forward an analogy between TBRIM and quantum small-world networks with an explosive spreading over exponentially large number of states in a finite time being similar to six degrees of separation in small-world social networks. We find that the SYK model has approximately two–three degrees of separation.     

Raman theory of quantum wires. Evidence of ripples in Raman spectra of thin wall Si nanotubes

In the present paper we develop for the first time a general theory calculating the Raman spectrum of a quantum wire, using the phonon modes active in the wire. No Raman theory is at present available for quantum wires. In fact, to date only phenomenological models with arbitrary parameters, or unidimensional approaches have been published specifically for quantum dots. In our approach the confinement effects due to the reduced size are introduced directly by means of the Heisenberg Uncertainty Principle. The present theory, applied to silicon nanowires, permits the evaluation of Raman frequency shift and linewidth broadening as a function of the size. The results obtained by this model for Si nanowires are in close agreement with the few experimental data available in the literature. The model also shows evidence of ripples in the Raman spectra of thin wall Si nanotubes. This theory can be applied as well to any semiconductor of known phonon branches.     

Stochastic climate dynamics: Random attractors and time-dependent invariant measures

This article attempts a unification of the two approaches that have dominated theoretical climate dynamics since its inception in the 1960s: the nonlinear deterministic and the linear stochastic one. This unification, via the theory of random dynamical systems (RDS), allows one to consider the detailed geometric structure of the random attractors associated with nonlinear, stochastically perturbed systems. We report on high-resolution numerical studies of two idealized models of fundamental interest for climate dynamics. The first of the two is a stochastically forced version of the classical Lorenz model. The second one is a low-dimensional, nonlinear stochastic model of the El Niño-Southern Oscillation (ENSO). These studies provide a good approximation of the two models’ global random attractors, as well as of the time-dependent invariant measures supported by these attractors; the latter are shown to have an intuitive physical interpretation as random versions of Sinaï-Ruelle-Bowen (SRB) measures.     

非线性两模玻色子系统的Majorana表象

利用Majorana表象,从平均场模型和二次量子化模型两方面研究了非线性双模玻色子系统的动力学问题.得到了Majorana点在球面上的运动方程,分析了平均场模型和二次量子化模型之间的区别及其在Majorana点运动方程中的体现.研究了二次量子化模型中量子态在少体和多体情况下的动力学演化及其与平均场量子态的区别和联系.以平均场模型和二次量子化模型量子态之间的保真度和Majorana点之间的关联为手段,讨论了在不同玻色子间相互作用强度、不同玻色子数下量子态的演化及相应的自囚禁效应.     

Exact Solutions to the Quantum Rabi-Stark Model Within Tunable Coherent States

The quantum Rabi-Stark model, where the linear dipole coupling and the nonlinear Stark-like coupling is present on an equal footing, is studied within the tunable extended coherent states. The eigenvalues and eigenstates are therefore obtained exactly. Surprisingly, the entanglement entropy in the ground-state is found to jump suddenly with the coupling strength. The first-order quantum phase transition can be detected by level crossing of the ground state and the first excited state, which is however lacking in the original linear quantum Rabi model. Performing the first-order approximation in the present theory, we can derive closed-form analytical results for the ground-state. Interestingly, it agrees well with the exact solutions up to the ultra-strong coupling regime in a wide range of model parameters. The spectral collapses when the absolute value of the nonlinear coupling strength approaches to twice the cavity frequency is observed with the help of new solutions in the limits.     

Extracting factors for interest rate scenarios

Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by a Principal Component Analysis (PCA) of historical bond prices (interest rates). Although PCA diagonalizes the covariance matrix of either the interest rates or the interest rate changes, it does not use both covariance matrices simultaneously. Furthermore higher linear and nonlinear correlations are neglected. These correlations as well as the mean reverting properties of the interest rates become crucial, if one is interested in a longer time horizon (infrequent hedging or trading). We will show that Independent Component Analysis (ICA) is a more appropriate tool than PCA, since ICA uses the covariance matrix of the interest rates as well as the covariance matrix of the interest rate changes simultaneously. Additionally higher linear and nonlinear correlations may be easily incorporated. The resulting factors are uncorrelated for various time delays, approximately independent but nonorthogonal. This is in contrast to the factors obtained from the PCA, which are orthogonal and uncorrelated for identical times only. Although factors from the ICA are nonorthogonal, it is sufficient to consider only a few factors in order to explain most of the variation in the original data. Finally we will present examples that ICA based hedges outperforms PCA based hedges specifically if the portfolio is sensitive to structural changes of the yield curve. Received 1st August 2000     

Calculation of norms of Bethe wave functions

A class of two dimensional completely integrable models of statistical mechanics and quantum field theory is considered. Eigenfunctions of the Hamiltonians are known for these models. Norms of these eigenfunctions in the finite box are calculated in the present paper. These models include in particular the quantum nonlinear Schrödinger equation and the HeisenbergXXZ model.     

Experimental nonlinear sign shift for linear optics quantum computation

We have realized the nonlinear sign shift operation for photonic qubits. This operation shifts the phase of two photons reflected by a beam splitter using an extra single photon and measurement. We show that the conditional phase shift is (1.05+/-0.06)pi in clear agreement with theory. Our results show that, by using an ancilla photon and conditional detection, nonlinear optical effects can be implemented using only linear optical elements. This experiment represents an essential step for linear optical implementations of scalable quantum computation.     

Constructing reduced model for complex physical systems via interpolation and neural networks

The work studies model reduction method for nonlinear systems based on proper orthogonal decomposition (POD)and discrete empirical interpolation method (DEIM). Instead of using the classical DEIM to directly approximate thenonlinear term of a system, our approach extracts the main part of the nonlinear term with a linear approximation beforeapproximating the residual with the DEIM. We construct the linear term by Taylor series expansion and dynamic modedecomposition (DMD), respectively, so as to obtain a more accurate reconstruction of the nonlinear term. In addition, anovel error prediction model is devised for the POD-DEIM reduced systems by employing neural networks with the aid oferror data. The error model is cheaply computable and can be adopted as a remedy model to enhance the reduction accuracy.Finally, numerical experiments are performed on two nonlinear problems to show the performance of the proposed method.     

Rabi oscillations of excitons in single quantum dots

Transient nonlinear optical spectroscopy, performed on excitons confined to single GaAs quantum dots, shows oscillations that are analogous to Rabi oscillations in two-level atomic systems. This demonstration corresponds to a one-qubit rotation in a single quantum dot which is important for proposals using quantum dot excitons for quantum computing. The dipole moment inferred from the data is consistent with that directly obtained from linear absorption studies. The measurement extends the artificial atom model of quantum dot excitonic transitions into the strong-field limit, and makes possible full coherent optical control of the quantum state of single excitons using optical pi pulses.     

Linear and nonlinear 2D finite element analysis of sloshing modes and pressures in rectangular tanks subject to horizontal harmonic motions

The influence of nonlinear wave theory on the sloshing natural periods and their modal pressure distributions are investigated for rectangular tanks under the assumption of two-dimensional behavior. Natural periods and mode shapes are computed and compared for both linear wave theory (LWT) and nonlinear wave theory (NLWT) models, using the finite element package ABAQUS. Linear wave theory is implemented in an acoustic model, whereas a plane strain problem with large displacements is used in NLWT. Pressure distributions acting on the tank walls are obtained for the first three sloshing modes using both linear and nonlinear wave theory. It is found that the nonlinearity does not have significant effects on the natural sloshing periods. For the sloshing pressures on the tank walls, different distributions were found using linear and nonlinear wave theory models. However, in all cases studied, the linear wave theory conservatively estimated the magnitude of the pressure distribution, whereas larger pressures resultant heights were obtained when using the nonlinear theory. It is concluded that the nonlinearity of the surface wave does not have major effects in the pressure distribution on the walls for rectangular tanks.