We show that a formalism for analyzing the near-horizon conformal symmetry of Schwarzschild black holes using a scalar field probe is capable of describing black hole decay. The equation governing black hole decay can be identified as the geodesic equation in the space of black hole masses. This provides a novel geometric interpretation for the decay of black holes. Moreover, this approach pred...

We study a revised version of Witten’s 2d black hole, in which the matter and (b, c) ghosts are mixed. The level of the coset model is still 9/4. We show that this model is equivalent to that of Mukhi and Vafa, in which the level of the coset model is taken as 3, and the stress tensor is improved. We argue that the exact metric in such a model is just the semi-classical one, quite different fro...

It has been, recently pointed out that the initial value problem in new inflation models is naturally solved by supergravity effects if there exists a pre-inflation before the new inflation. We study this double inflation model in details and find that density fluctuations on small cosmological scales are much larger than those on large scales due to peculiar property of the new inflation. We s...

We consider an economic model with a deterministic money market account and a finite set of basic economic risks. The real-world prices of the risks are represented by continuous time stochastic processes satisfying a stochastic differential equation of diffusion type. For the simple class of log-normally distributed instantaneous rates of return, we construct an explicit state-price deflator. ...

This paper studies several aspects of asymptotically hyperbolic Einstein metrics, mostly on 4-manifolds. We prove boundary regularity (at infinity) for such metrics and establish uniqueness under natural conditions on the boundary data. By examination of explicit black hole metrics, it is shown that neither uniqueness nor finiteness holds in general for AH Einstein metrics with a prescribed con...

We study static brane configurations in the bulk background of the topological black holes in asymptotically flat spacetime. We find that such configurations are possible even for flat black hole horizon, unlike the AdS black hole case. We construct the brane world model with an orbifold structure S/Z2 in such bulk background. We also study massless bulk scalar field.

This paper examines the behaviour of European option price (Duan (1995)) and the Black-Scholes model bias when stock returns follow a GARCH (1,1) process. The GARCH option price is not preferenceneutral and depends on the unit risk premium (λ) as well as the two GARCH (1,1) process parameters (α1 , β1). In general, the GARCH option price does not seem overly sensitive to these parameters. Deep-...

In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random{Time Binomial Model. We present the conditions to ensure weak{convergence to the Black{Scholes setup and convergence of the values for European and American put options. Di erently to the CRR{model the convergence beha...

We reconsider the replication problem for contingent claims in a complete market under a general framework. Since there are various limitations in the Black–Scholes pricing formula, we propose a new method to obtain an explicit self–financing trading strategy expression for replications of claims in a general model. The main advantage of our method is that we propose using an orthogonal expansi...

classical explicit finite difference schemes are unsuitable for the solution of the famous black-scholes partial differential equation, since they impose severe restrictions on the time step. furthermore, they may produce spurious oscillations in the solution. we propose a new scheme that is free of spurious oscillations and guarantees the positivity of the solution for arbitrary stepsizes. the...