Jean Nuyts

Bio: Jean Nuyts is an academic researcher from University of Mons. The author has contributed to research in topics: Lorentz transformation & Superspace. The author has an hindex of 9, co-authored 54 publications receiving 4105 citations. Previous affiliations of Jean Nuyts include University of Mons-Hainaut.

A Theory for the Term Structure of Interest Rates

Abstract: The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical distributions matching the empirical data from the Federal Reserve System (FRS) are deduced from a discretised seed which enjoys remarkable scaling laws. In particular the tails of the distributions are very well reproduced. These results may be used to develop new methods for the computation of the value-at-risk and fixed-income derivative pricing.

Phenomenology of the term structure of interest rates with Padé Approximants

Abstract: The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of experimental data. We have chosen a more phenomenological approach. It is based on results obtained some twenty years ago by physicists, results which show that Pade Approximants are very suitable for approximating large classes of functions in a very precise and coherent way. In this paper, we have chosen to compare Pade Approximants with very low indices with the experimental densities of interest rates variations. We have shown that the data published by the Federal Reserve System in the United States are very well reproduced with two parameters only. These parameters are rather simple functions of the lag and of the maturity and are directly related to the moments of the distributions.

N=6 superconformal Chern-Simons-matter theories, M2-branes and their gravity duals

Abstract: We construct three dimensional Chern-Simons-matter theories with gauge groups U(N) × U(N) and SU(N) × SU(N) which have explicit = 6 superconformal symmetry. Using brane constructions we argue that the U(N) × U(N) theory at level k describes the low energy limit of N M2-branes probing a C4/Zk singularity. At large N the theory is then dual to M-theory on AdS4 × S7/Zk. The theory also has a 't Hooft limit (of large N with a fixed ratio N/k) which is dual to type IIA string theory on AdS4 × CP3. For k = 1 the theory is conjectured to describe N M2-branes in flat space, although our construction realizes explicitly only six of the eight supersymmetries. We give some evidence for this conjecture, which is similar to the evidence for mirror symmetry in d = 3 gauge theories. When the gauge group is SU(2) × SU(2) our theory has extra symmetries and becomes identical to the Bagger-Lambert theory.

Quantitative Risk Management: Concepts, Techniques, and Tools

Abstract: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation