L\'evy-Schr\"odinger wave packets

We analyze the time--dependent solutions of the pseudo--differential L\'evy--Schr\"odinger wave equation in the free case, and we compare them with the associated L\'evy processes. We list the principal laws used to describe the time evolutions of both the L\'evy process densities, and the L\'evy--Schr\"odinger wave packets. To have self--adjoint generators and unitary evolutions we will consider only absolutely continuous, infinitely divisible L\'evy noises with laws symmetric under change of sign of the independent variable. We then show several examples of the characteristic behavior of the L\'evy--Schr\"odinger wave packets, and in particular of the bi-modality arising in their evolutions: a feature at variance with the typical diffusive uni--modality of both the L\'evy process densities, and the usual Schr\"odinger wave functions.Comment: 41 pages, 13 figures; paper substantially shortened, while keeping intact examples and results; changed format from "report" to "article"; eliminated Appendices B, C, F (old names); shifted Chapters 4 and 5 (old numbers) from text to Appendices C, D (new names); introduced connection between Relativistic q.m. laws and Generalized Hyperbolic law

On Uniqueness of the Jump Process in Quantum Measurement Theory

We prove that, contrary to the standard quantum theory of continuous observation, in the formalism of Event Enhanced Quantum Theory the stochastic process generating individual sample histories of pairs (observed quantum system, observing classical apparatus) is unique. This result gives a rigorous basis to the previous heuristic argument of Blanchard and Jadczyk. Possible implications of this result are discussed.Comment: 31 pages, LaTeX, article; e-mail contact [email protected]

Sensitivity analysis for marked Hawkes processes: application to CLO pricing

This paper deals with a model for pricing Collateralized Loan Obligations, where the underlying credit risk is driven by a marked Hawkes process, involving both clustering effects on defaults and random recovery rates. We provide a sensitivity analysis of the CLO price with respect to the parameters of the Hawkes process using a change of probability and a variational approach. We also provide a simplified version of the model where the intensity of the Hawkes process is taken as the instantaneous default rate. In this setting, we give a moment-based formula for the expected survival probability

Hedging CDO Tranches in a Markovian Environment

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