# Professor Dorje C Brody

### My publications

### Publications

Brody Dorje, Hughston L, Meier D (2018) Levy-Vasicek Models and the Long-Bond Return Process, International Journal of Theoretical and Applied Finance 21 (3) World Scientific Publishing

The classical derivation of the well-known Vasicek model for interest rates is reformulated

in terms of the associated pricing kernel. An advantage of the pricing kernel method

is that it allows one to generalize the construction to the Levy-Vasicek case, avoiding

issues of market incompleteness. In the Levy-Vasicek model the short rate is taken in the

real-world measure to be a mean-reverting process with a general one-dimensional Levy

driver admitting exponential moments. Expressions are obtained for the Levy-Vasicek

bond prices and interest rates, along with a formula for the return on a unit investment

in the long bond, defined by Lt = limT1 PtT =P0T , where PtT is the price at time t of

a T-maturity discount bond. We show that the pricing kernel of a Levy-Vasicek model

is uniformly integrable if and only if the long rate of interest is strictly positive.

in terms of the associated pricing kernel. An advantage of the pricing kernel method

is that it allows one to generalize the construction to the Levy-Vasicek case, avoiding

issues of market incompleteness. In the Levy-Vasicek model the short rate is taken in the

real-world measure to be a mean-reverting process with a general one-dimensional Levy

driver admitting exponential moments. Expressions are obtained for the Levy-Vasicek

bond prices and interest rates, along with a formula for the return on a unit investment

in the long bond, defined by Lt = limT1 PtT =P0T , where PtT is the price at time t of

a T-maturity discount bond. We show that the pricing kernel of a Levy-Vasicek model

is uniformly integrable if and only if the long rate of interest is strictly positive.

Brody Dorje (2018) Biorthogonal systems on unit interval and

zeta dilation operators, Journal of Physics A: Mathematical and Theoretical 51 285202 Institute of Physics

zeta dilation operators, Journal of Physics A: Mathematical and Theoretical 51 285202 Institute of Physics

An elementary `quantum-mechanical' derivation of the conditions for a system of

functions to form a Riesz basis of a Hilbert space on a finite interval is presented.

functions to form a Riesz basis of a Hilbert space on a finite interval is presented.

Brody Dorje C, Hughston Lane P (2015) Universal Quantum Measurements, Journal of Physics: Conference Series 624 IOP Publishing

We introduce a family of operations in quantum mechanics that one can regard as "universal quantum measurements" (UQMs). These measurements are applicable to all finite dimensional quantum systems and entail the specification of only a minimal amount of structure. The first class of UQM that we consider involves the specification of the initial state of the system?no further structure is brought into play. We call operations of this type "tomographic measurements", since given the statistics of the outcomes one can deduce the original state of the system. Next, we construct a disentangling operation, the outcome of which, when the procedure is applied to a general mixed state of an entangled composite system, is a disentangled product of pure constituent states. This operation exists whenever the dimension of the Hilbert space is not a prime, and can be used to model the decay of a composite system. As another example, we show how one can make a measurement of the direction along which the spin of a particle of spin s is oriented (s = 1/2, 1,...). The required additional structure in this case involves the embedding of CP1 as a rational curve of degree 2s in CP2s.

Brody Dorje C, Meier David M (2015) Elementary solution to the time-independent quantum navigation problem, Journal of Physics A: Mathematical and Theoretical 48 (5) IOP Publishing

A quantum navigation problem concerns the identification of a time-optimal Hamiltonian that realizes a required quantum process or task, under the influence of a prevailing 'background' Hamiltonian that cannot be manipulated. When the task is to transform one quantum state into another, finding the solution in closed form to the problem is nontrivial even in the case of time-independent Hamiltonians. An elementary solution, based on trigonometric analysis, is found here when the Hilbert space dimension is two. Difficulties arising from generalizations to higher-dimensional systems are discussed.

Brody Dorje C, Hughston Lane P, Meier David M (2015) Fragile entanglement statistics, Journal of Physics A: Mathematical and Theoretical 48 (42) IOP Publishing

If X and Y are independent, Y and Z are independent, and so are X and Z, one might be tempted to conclude that X, Y, and Z are independent. But it has long been known in classical probability theory that, intuitive as it may seem, this is not true in general. In quantum mechanics one can ask whether analogous statistics can emerge for configurations of particles in certain types of entangled states. The explicit construction of such states, along with the specification of suitable sets of observables that have the purported statistical properties, is not entirely straightforward. We show that an example of such a configuration arises in the case of an N-particle GHZ state, and we are able to identify a family of observables with the property that the associated measurement outcomes are independent for any choice of $2,3,\ldots ,N-1$ of the particles, even though the measurement outcomes for all N particles are not independent. Although such states are highly entangled, the entanglement turns out to be 'fragile', i.e. the associated density matrix has the property that if one traces out the freedom associated with even a single particle, the resulting reduced density matrix is separable.

Brody Dorje, Law Yan Tai (2015) Pricing of Defaultable Bonds with Random Information Flow, Applied Mathematical Finance 22 (5) pp. 399-420 Taylor and Francis

In the information-based approach to asset pricing, the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market then determines the overall magnitude of asset volatility. By letting this information flow rate random, we obtain an elementary stochastic volatility model within the information-based approach. Such an extension is justified on account of the fact that in real markets information flow rates are rarely measurable. Effects of having a random information flow rate are investigated in detail in the context of a simple model setup. Specifically, the price process of an elementary defaultable bond is derived, and its characteristic behaviours are revealed via simulation studies. The price of a European-style option on the bond is worked out, showing that the model has a sufficient flexibility to fit volatility surface. As an extension of the random information flow model, modelling of price manipulation is considered. A simple model is used to show how the skewness of the manipulated and unmanipulated price processes take opposite signature.

Brody Dorje, Bender Carl M., Meister Bernhard K., Hughston Lane P. (2016) Geometric aspects of space-time reflection symmetry in quantum mechanics, In: Springer Proceedings in Physics 184 pp. 185-199 Springer

For nearly two decades, much research has been carried out on properties of physical systems described by Hamiltonians that are not Hermitian in the conventional sense, but are symmetric under space-time reflection; that is, they exhibit PT symmetry. Such Hamiltonians can be used to model the behavior of closed quantum systems, but they can also be replicated in open systems for which gain

and loss are carefully balanced, and this has been implemented in laboratory experiments for a wide range of systems. Motivated by these ongoing research activities,

we investigate here a particular theoretical aspect of the subject by unraveling the geometric structures of Hilbert spaces endowed with the parity and time-reversal operations, and analyze the characteristics of PT -symmetric Hamiltonians. A canonical relation between a PT -symmetric operator and a Hermitian operator is established in a geometric setting. The quadratic form corresponding to the parity operator, in particular, gives rise to a natural partition of the Hilbert space into two halves corresponding to states having positive and negative PT norm. Positive definiteness of the norm can be restored by introducing a conjugation operator C ; this leads to a positive-definite inner product in terms of CPT conjugation.

and loss are carefully balanced, and this has been implemented in laboratory experiments for a wide range of systems. Motivated by these ongoing research activities,

we investigate here a particular theoretical aspect of the subject by unraveling the geometric structures of Hilbert spaces endowed with the parity and time-reversal operations, and analyze the characteristics of PT -symmetric Hamiltonians. A canonical relation between a PT -symmetric operator and a Hermitian operator is established in a geometric setting. The quadratic form corresponding to the parity operator, in particular, gives rise to a natural partition of the Hilbert space into two halves corresponding to states having positive and negative PT norm. Positive definiteness of the norm can be restored by introducing a conjugation operator C ; this leads to a positive-definite inner product in terms of CPT conjugation.

Brody Dorje C., Gibbons Gary W, Meier David M (2015) Time-optimal navigation through quantum wind, New Journal of Physics 17 (3)

The quantum navigation problem of finding the time-optimal control Hamiltonian that transports a given initial state to a target state through quantum wind, that is, under the influence of external fields or potentials, is analyzed. By lifting the problem from the state space to the space of unitary gates realizing the required task, we are able to deduce the form of the solution to the problem by deriving a universal quantum speed limit. The expression thus obtained indicates that further simplifications of this apparently difficult problem are possible if we switch to the interaction picture of quantum mechanics. A complete solution to the navigation problem for an arbitrary quantum system is then obtained, and the behaviour of the solution is illustrated in the case of a two-level system.

Brody Dorje Corje (2017) PT-symmetry, indefinite metric, and nonlinear quantum mechanics, Journal of Physics A: Mathematical and Theoretical 50 (48) pp. 1-12 IOP Publishing

If a Hamiltonian of a quantum system is symmetric under space-time reflection, then the associated eigenvalues can be real. A conjugation operation for quantum states can then be defined in terms of space-time reflection, but the resulting Hilbert space inner product is not positive definite and gives rise to an interpretational difficulty. One way of resolving this difficulty is to introduce a superselection rule that excludes quantum states having negative norms. It is shown here that a quantum theory arising in this way gives an example of Kibble?s nonlinear quantum mechanics, with the property that the state space has a constant negative curvature. It then follows from the positive curvature theorem that the resulting quantum theory is not physically viable. This conclusion also has implications to other quantum theories obtained from the imposition of analogous superselection rules.

Brody Dorje, Hadjpetri Stala (2015) Coherent chaos interest-rate models, International Journal of Theoretical and Applied Finance 18 (3) 1550016 World Scientific

The Wiener chaos approach to interest-rate modeling arises from the observation that in the general context of an arbitrage-free model with a Brownian filtration, the pricing kernel admits a representation in terms of the conditional variance of a square-integrable generator, which in turn admits a chaos expansion. When the expansion coefficients of the random generator factorize into multiple copies of a single function, the resulting interest-rate model is called "coherent", whereas a generic interest-rate model is necessarily "incoherent". Coherent representations are of fundamental importance because an incoherent generator can always be expressed as a linear superposition of coherent elements. This property is exploited to derive general expressions for the pricing kernel and the associated bond price and short rate processes in the case of a generic nth order chaos model, for each n ? ?. Pricing formulae for bond options and swaptions are obtained in closed form for a number of examples. An explicit representation for the pricing kernel of a generic incoherent model is then obtained by use of the underlying coherent elements. Finally, finite-dimensional realizations of coherent chaos models are investigated and we show that a class of highly tractable models can be constructed having the characteristic feature that the discount bond price is given by a piecewise-flat (simple) process.

Brody Dorje C., Gibbons Gary W., Meier David M. (2016) A Riemannian approach to Randers geodesics, Journal of Geometry and Physics 106 pp. 98-101 Elsevier

In certain circumstances tools of Riemannian geometry are sufficient to address questions arising in the more general Finslerian context. We show that one such instance presents itself in the characterisation of geodesics in Randers spaces of constant flag curvature. To achieve a simple, Riemannian derivation of this special family of curves, we exploit the connection between Randers spaces and the Zermelo problem of time-optimal navigation in the presence of background fields. The characterisation of geodesics is then proven by generalising an intuitive argument developed recently for the solution of the quantum Zermelo problem.

Brody Dorje C., Hughston Lane P (2016) Thermodynamics of quantum heat bath, Journal of Physics A: Mathematical and Theoretical 49 (42) IOP Publishing

A model for the thermodynamics of a quantum heat bath is introduced. Under the assumption that the bath molecules have finitely many degrees of freedom and are weakly interacting, we present a general derivation of the equation of state of the bath in the thermodynamic limit. The relation between the temperature and the specific energy of the bath depends on (i) the spectral properties of the molecules, and (ii) the choice of probability measure on the state space of a representative molecule. The results obtained illustrate how the microscopic features of the molecular constituents determine the macroscopic thermodynamic properties of the bath. Our findings can thus be used to compare the merits of different hypotheses for the equilibrium states of quantum systems. Two examples of plausible choices for the probability measure are considered in detail.

Bender Carl M, Brody Dorje Corje (2018) Asymptotic analysis on a pseudo-Hermitian Riemann-zeta Hamiltonian, Journal of Physics A: Mathematical and Theoretical 51 (13) Institute of Physics

The differential-equation eigenvalue problem associated with a recently-introduced Hamiltonian, whose eigenvalues correspond to the zeros of the Riemann zeta function, is analyzed using Fourier and WKB analysis. The Fourier analysis leads to a challenging open problem concerning the formulation of the eigenvalue problem in the momentum space. The WKB analysis gives the exact asymptotic behavior of the eigenfunction.

Bender Carl M., Brody Dorje C., Müller Markus P. (2017) Hamiltonian for the Zeros of the Riemann Zeta Function, Physical Review Letters 118 (13) 130201 American Physical Society

Brody Dorje C (2016) Consistency of PT-symmetric quantum mechanics, Journal of Physics A: Mathematical and Theoretical 49 (10) 10LT03 IOP Publishing

In recent reports, suggestions have been put forward to the effect that parity and time-reversal (PT) symmetry in quantum mechanics is incompatible with causality. It is shown here, in contrast, that PT-symmetric quantum mechanics is fully consistent with standard quantum mechanics. This follows from the surprising fact that the much-discussed metric operator on Hilbert space is not physically observable. In particular, for closed quantum systems in finite dimensions there is no statistical test that one can perform on the outcomes of measurements to determine whether the Hamiltonian is Hermitian in the conventional sense, or PT-symmetric?the two theories are indistinguishable. Nontrivial physical effects arising as a consequence of PT symmetry are expected to be observed, nevertheless, for open quantum systems with balanced gain and loss.

Brody Dorje C.orje, Hughston Lane P. (2016) Social discounting and the long rate of interest, Mathematical Finance 28 (1) pp. 306-334 Wiley

The well-known theorem of Dybvig, Ingersoll, and Ross shows that the long zero-coupon rate can never fall. This result, which, although undoubtedly correct, has been regarded by many as surprising, stems from the implicit assumption that the long-term discount function has an exponential tail. We revisit the problem in the setting of modern interest rate theory, and show that if the long ?simple? interest rate (or Libor rate) is ?nite, then this rate (unlike the zero-coupon rate) acts viably as a state variable,the value of which can ?uctuate randomly in line with other economic indicators. New interest rate models are constructed, under this hypothesis and certain generalizations thereof, that illustrate explicitly the good asymptotic behavior of the resulting discount bond systems. The conditions necessary for the existence of such ?hyperbolic? and ?generalized hyperbolic? long rates are those of so-called social discounting, which allow for long-term cash ?ows to be treated as broadly ?just as important? as those of the short or medium term. As a consequence, we are able to provide a consistent arbitrage-free valuation framework for the cost-bene?t analysis and risk management of long-term social projects, such as those associated with sustainable energy, resource conservation, and climate change

Bender Carl M, Brody Dorje C (2019) Operator-valued zeta functions and Fourier analysis, Journal of Physics A: Mathematical and Theoretical 52 345201 pp. 1-8 IOP Publishing

The Riemann zeta function

?

converges when Re

of

converge. This analytic continuation is ordinarily performed by using a functional

equation. In this paper it is argued that one can investigate some properties of

the Riemann zeta function in the region Re

functions to act on test functions. As an illustration, it is shown that the locations

of the trivial zeros can be determined purely from a Fourier series, without relying

on an explicit analytic continuation of the functional equation satisfied by

*Ú(s)*is defined as the infinite sum?

^{?}_{n=1}*n*, which^{-s}converges when Re

*s*Ã 1. The Riemann hypothesis asserts that the nontrivial zerosof

*Ú(s)*lie on the line Re*s*= ½ . Thus, to find these zeros it is necessary to perform an analytic continuation to a region of complex s for which the defining sum does notconverge. This analytic continuation is ordinarily performed by using a functional

equation. In this paper it is argued that one can investigate some properties of

the Riemann zeta function in the region Re

*s*Â 1 by allowing operator-valued zetafunctions to act on test functions. As an illustration, it is shown that the locations

of the trivial zeros can be determined purely from a Fourier series, without relying

on an explicit analytic continuation of the functional equation satisfied by

*Ú(s)*.Brody Dorje C. (2019) Modelling election dynamics and the impact of disinformation, Information Geometry Springer Singapore

Complex dynamical systems driven by the unravelling of information can be modelled effectively by treating the underlying flow of information as the model input. Complicated dynamical behaviour of the system is then derived as an output. Such an information-based approach is in sharp contrast to the conventional mathematical modelling of information-driven systems whereby one attempts to come up with essentially ad hoc models for the outputs. Here, dynamics of electoral competition is modelled by the specification of the flow of information relevant to election. The seemingly random evolution of the election poll statistics are then derived as model outputs, which in turn are used to study election prediction, impact of disinformation, and the optimal strategy for information management in an election campaign.

Bender Carl M., Brody Dorje C., Parry Matthew F. (2019) Making sense of the divergent series for reconstructing a Hamiltonian from its eigenstates and eigenvalues, American Journal of Physics American Association of Physics Teachers

In quantum mechanics the eigenstates of the Hamiltonian form a complete basis. However, physicists conventionally express completeness as a formal sum over the eigenstates, and this sum is typically a divergent series if the Hilbert space is infinite dimensional. Furthermore, while the Hamiltonian can be reconstructed formally as a sum over its eigenvalues and eigenstates, this series is typically even more divergent. For the simple cases of the square-well and the harmonic-oscillator potentials this paper explains how to use the elementary procedure of Euler summation to sum these divergent series and thereby to make sense of the formal statement of the completeness of the formal sum that represents the reconstruction of the Hamiltonian.

Brody Dorje C., Longstaff Bradley (2019) Evolution speed of open quantum dynamics, Physical Review Research American Physical Society

The space of density matrices is embedded in a Euclidean space to deduce the dynamical equation

satisfied by the state of an open quantum system. The Euclidean norm is used to obtain an explicit

expression for the speed of the evolution of the state. The unitary contribution to the evolution

speed is given by the modified skew information of the Hamiltonian, while the radial component of

the evolution speed, connected to the rate at which the purity of the state changes, is shown to be

determined by the modified skew information of the Lindblad operators. An open-system analogue

of the quantum navigation problem is posed, and a perturbative analysis is presented to identify

the amount of change on the speed. Properties of the evolution speed are examined further through

example systems, showing that the evolution speed need not be a decreasing function of time.

satisfied by the state of an open quantum system. The Euclidean norm is used to obtain an explicit

expression for the speed of the evolution of the state. The unitary contribution to the evolution

speed is given by the modified skew information of the Hamiltonian, while the radial component of

the evolution speed, connected to the rate at which the purity of the state changes, is shown to be

determined by the modified skew information of the Lindblad operators. An open-system analogue

of the quantum navigation problem is posed, and a perturbative analysis is presented to identify

the amount of change on the speed. Properties of the evolution speed are examined further through

example systems, showing that the evolution speed need not be a decreasing function of time.

Brody Dorje, Hughston Lane P., Meister Bernard K. (2019) Theory of Cryptocurrency Interest Rates, SIAM Journal on Financial Mathematics Society for Industrial and Applied Mathematics

A term structure model in which the short rate is zero is developed as a candidate

for a theory of cryptocurrency interest rates. The price processes of crypto discount

bonds are worked out, along with expressions for the instantaneous forward rates

and the prices of interest-rate derivatives. The model admits functional degrees of

freedom that can be calibrated to the initial yield curve and other market data. Our

analysis suggests that strict local martingales can be used for modelling the pricing

kernels associated with virtual currencies based on distributed ledger technologies.

for a theory of cryptocurrency interest rates. The price processes of crypto discount

bonds are worked out, along with expressions for the instantaneous forward rates

and the prices of interest-rate derivatives. The model admits functional degrees of

freedom that can be calibrated to the initial yield curve and other market data. Our

analysis suggests that strict local martingales can be used for modelling the pricing

kernels associated with virtual currencies based on distributed ledger technologies.