Model uncertainty and the pricing of American options

The virtue of an American option is that it can be exercised at any time. This right is particularly valuable when there is model uncertainty. Yet almost all the extensive literature on American options assumes away model uncertainty. This paper quantifies the potential value of this flexibility by identifying the supremum on the price of an American option when we do not impose a model, but rather consider the class of all models which are consistent with a family of European call prices. The bound is enforced by a hedging strategy involving these call options which is robust to model error

Moral silence? : nurses' experience of ethical decision making at the end of life

The ethics literature to date has suffered from an inadequate empirical base on which to support discussion about practice, policy and education. Research in the area of ethical decision-making has been inconclusive because of unclear conceptualisations of moral problems, and different methods to investigate the extent to which nurses are confronted with them. In particular, the contextual influences on the formation of moral conflicts and nurses' responses to them have not been explored. In cancer care, there is anecdotal evidence that such influences have a powerful effect on the interaction between individual nurses and perceived moral problems. The study aims to redress previous inadequacies by exploring individual nurses' engagement with perceived moral problems as they occur on an acute cancer unit. The surrounding influences and effects on patient care are studied as part of a fieldwork analysis involving 18 months of participant observation. The researcher worked alongside individual nurses in order to deepen understanding of their perception of moral conflicts. Findings involve the central concern that ethical decisions are not made, and that this can, in part, be attributed to nurses' evident pattern of emotional distancing. The function of emotion in enabling moral engagement is a central argument of this thesis. The lack of a credible ethical language in practice and the effects of hierarchical decision-making are also explored. Against a backdrop of the frequently mismanaged border between acute and palliative care, these issues appear to combine to leave patients and their relatives unsupported as death approaches. By studying ethical decision-making in the context of its application, this study can reliably suggest ways forward in practice. The implications are far-reaching and offer recommendations which improve on those contained in recent policy literature. They will be of direct relevance to those involved in pre- and post registration, and to those responsible for acute cancer services in the UK

Estimating the bispectrum of the Very Small Array data

We estimate the bispectrum of the Very Small Array data from the compact and extended configuration observations released in December 2002, and compare our results to those obtained from Gaussian simulations. There is a slight excess of large bispectrum values for two individual fields, but this does not appear when the fields are combined. Given our expected level of residual point sources, we do not expect these to be the source of the discrepancy. Using the compact configuration data, we put an upper limit of 5400 on the value of f_NL, the non-linear coupling parameter, at 95 per cent confidence. We test our bispectrum estimator using non-Gaussian simulations with a known bispectrum, and recover the input values.Comment: 17 pages, 16 figures, replaced with version accepted by MNRAS. Primordial bispectrum recalculated and figure 11 change

A measurement of the tau mass and the first CPT test with tau leptons

We measure the mass of the tau lepton to be 1775.1+-1.6(stat)+-1.0(syst.) MeV using tau pairs from Z0 decays. To test CPT invariance we compare the masses of the positively and negatively charged tau leptons. The relative mass difference is found to be smaller than 3.0 10^-3 at the 90% confidence level.Comment: 10 pages, 4 figures, Submitted to Phys. Letts.

First Measurement of Z/gamma* Production in Compton Scattering of Quasi-real Photons

We report the first observation of Z/gamma* production in Compton scattering of quasi-real photons. This is a subprocess of the reaction e+e- to e+e-Z/gamma*, where one of the final state electrons is undetected. Approximately 55 pb-1 of data collected in the year 1997 at an e+e- centre-of-mass energy of 183 GeV with the OPAL detector at LEP have been analysed. The Z/gamma* from Compton scattering has been detected in the hadronic decay channel. Within well defined kinematic bounds, we measure the product of cross-section and Z/gamma* branching ratio to hadrons to be (0.9+-0.3+-0.1) pb for events with a hadronic mass larger than 60 GeV, dominated by (e)eZ production. In the hadronic mass region between 5 GeV and 60 GeV, dominated by (e)egamma* production, this product is found to be (4.1+-1.6+-0.6) pb. Our results agree with the predictions of two Monte Carlo event generators, grc4f and PYTHIA.Comment: 18 pages, LaTeX, 5 eps figures included, submitted to Physics Letters

A search for neutral Higgs bosons in the MSSM and models with two scalar field doublets

A search is described for the neutral Higgs bosons h^0 and A^0 predicted by models with two scalar field doublets and, in particular, the Minimal Supersymmetric Standard Model (MSSM). The search in the Z^0 h^0 and h^0 A^0 production channels is based on data corresponding to an integrated luminosity of 25 pb^{-1} from e^+e^- collisions at centre-of-mass energies between 130 and 172GeV collected with the OPAL detector at LEP. The observation of a number of candidates consistent with Standard Model background expectations is used in combination with earlier results from data collected at the Z^0 resonance to set limits on m_h and m_A in general models with two scalar field doublets and in the MSSM. For example, in the MSSM, for tan(beta) > 1, minimal and maximal scalar top quark mixing and soft SUSY-breaking masses of 1 TeV, the 95% confidence level limits m_h > 59.0 GeV and m_A > 59.5 GeV are obtained. For the first time, the MSSM parameter space is explored in a detailed scan.A search is described for the neutral Higgs bosons h^0 and A^0 predicted by models with two scalar field doublets and, in particular, the Minimal Supersymmetric Standard Model (MSSM). The search in the Z^0 h^0 and h^0 A^0 production channels is based on data corresponding to an integrated luminosity of 25 pb^{-1} from e^+e^- collisions at centre-of-mass energies between 130 and 172 GeV collected with the OPAL detector at LEP. The observation of a number of candidates consistent with Standard Model background expectations is used in combination with earlier results from data collected at the Z^0 resonance to set limits on m_h and m_A in general models with two scalar field doublets and in the MSSM. For example, in the MSSM, for tan(beta) > 1, minimal and maximal scalar top quark mixing and soft SUSY-breaking masses of 1 TeV, the 95% confidence level limits m_h > 59.0 GeV and m_A > 59.5 GeV are obtained. For the first time, the MSSM parameter space is explored in a detailed scan

Spin alignment of leading K∗(892)0K^{*}(892)^{0} mesons in hadronic Z0Z^0 decays

Helicity density matrix elements for inclusive K*(892)^0 mesons from hadronic Z^0 decays have been measured over the full range of K^*0 momentum using data taken with the OPAL experiment at LEP. A preference for occupation of the helicity zero state is observed at all scaled momentum x_p values above 0.3, with the matrix element rho_00 rising to 0.66 +/- 0.11 for x_p > 0.7. The values of the real part of the off-diagonal element rho_1-1 are negative at large x_p, with a weighted average value of -0.09 +/- 0.03 for x_p > 0.3, in agreement with new theoretical predictions based on Standard Model parameters and coherent fragmentation of the qq(bar) system from the Z^0 decay. All other helicity density matrix elements measured are consistent with zero over the entire x_p range. The K^*0 fragmentation function has also been measured and the total rate determined to be 0.74 +/- 0.02 +/- 0.02 K*(892)^0 mesons per hadronic Z^0 decay.Helicity density matrix elements for inclusive K*(892)^0 mesons from hadronic Z^0 decays have been measured over the full range of K^*0 momentum using data taken with the OPAL experiment at LEP. A preference for occupation of the helicity zero state is observed at all scaled momentum x_p values above 0.3, with the matrix element rho_00 rising to 0.66 +/- 0.11 for x_p > 0.7. The values of the real part of the off-diagonal element rho_1-1 are negative at large x_p, with a weighted average value of -0.09 +/- 0.03 for x_p > 0.3, in agreement with new theoretical predictions based on Standard Model parameters and coherent fragmentation of the qq(bar) system from the Z^0 decay. All other helicity density matrix elements measured are consistent with zero over the entire x_p range. The K^*0 fragmentation function has also been measured and the total rate determined to be 0.74 +/- 0.02 +/- 0.02 K*(892)^0 mesons per hadronic Z^0 decay.Helicity density matrix elements for inclusive K*(892)^0 mesons from hadronic Z^0 decays have been measured over the full range of K^*0 momentum using data taken with the OPAL experiment at LEP. A preference for occupation of the helicity zero state is observed at all scaled momentum x_p values above 0.3, with the matrix element rho_00 rising to 0.66 +/- 0.11 for x_p > 0.7. The values of the real part of the off-diagonal element rho_1-1 are negative at large x_p, with a weighted average value of -0.09 +/- 0.03 for x_p > 0.3, in agreement with new theoretical predictions based on Standard Model parameters and coherent fragmentation of the qq(bar) system from the Z^0 decay. All other helicity density matrix elements measured are consistent with zero over the entire x_p range. The K^*0 fragmentation function has also been measured and the total rate determined to be 0.74 +/- 0.02 +/- 0.02 K*(892)^0 mesons per hadronic Z^0 decay.Helicity density matrix elements for inclusive K*(892)^0 mesons from hadronic Z^0 decays have been measured over the full range of K^*0 momentum using data taken with the OPAL experiment at LEP. A preference for occupation of the helicity zero state is observed at all scaled momentum x_p values above 0.3, with the matrix element rho_00 rising to 0.66 +/- 0.11 for x_p > 0.7. The values of the real part of the off-diagonal element rho_1-1 are negative at large x_p, with a weighted average value of -0.09 +/- 0.03 for x_p > 0.3, in agreement with new theoretical predictions based on Standard Model parameters and coherent fragmentation of the qq(bar) system from the Z^0 decay. All other helicity density matrix elements measured are consistent with zero over the entire x_p range. The K^*0 fragmentation function has also been measured and the total rate determined to be 0.74 +/- 0.02 +/- 0.02 K*(892)^0 mesons per hadronic Z^0 decay.Helicity density matrix elements for inclusive K ∗ (892) 0 mesons from hadronic Z 0 decays have been measured over the full range of K ∗ 0 momentum using data taken with the OPAL experiment at LEP. A preference for occupation of the helicity zero state is observed at all scaled momentum x p values above 0.3, with the matrix element ϱ 00 rising to 0.66 ± 0.11 for x p > 0.7. The values of the real part of the off-diagonal element ϱ 1 - 1 are negative at large x p , with a weighted average value of −0.09 ± 0.03 for x p > 0.3, in agreement with new theoretical predictions based on Standard Model parameters and coherent fragmentation of the q q system from the Z 0 decay. All other helicity density matrix elements measured are consistent with zero over the entire x p range. The K ∗ 0 fragmentation function has also been measured and the total rate determined to be 0.74 ± 0.02 ± 0.02 K ∗ (892) 0 mesons per hadronic Z 0 decay

Search for jet extinction in the inclusive jet-pT spectrum from proton-proton collisions at s=8 TeV

Published by the American Physical Society under the terms of the Creative Commons Attribution 3.0 License. Further distribution of this work must maintain attribution to the author(s) and the published articles title, journal citation, and DOI.The first search at the LHC for the extinction of QCD jet production is presented, using data collected with the CMS detector corresponding to an integrated luminosity of 10.7  fb−1 of proton-proton collisions at a center-of-mass energy of 8 TeV. The extinction model studied in this analysis is motivated by the search for signatures of strong gravity at the TeV scale (terascale gravity) and assumes the existence of string couplings in the strong-coupling limit. In this limit, the string model predicts the suppression of all high-transverse-momentum standard model processes, including jet production, beyond a certain energy scale. To test this prediction, the measured transverse-momentum spectrum is compared to the theoretical prediction of the standard model. No significant deficit of events is found at high transverse momentum. A 95% confidence level lower limit of 3.3 TeV is set on the extinction mass scale

The evolution of lung cancer and impact of subclonal selection in TRACERx

Lung cancer is the leading cause of cancer-associated mortality worldwide1. Here we analysed 1,644 tumour regions sampled at surgery or during follow-up from the first 421 patients with non-small cell lung cancer prospectively enrolled into the TRACERx study. This project aims to decipher lung cancer evolution and address the primary study endpoint: determining the relationship between intratumour heterogeneity and clinical outcome. In lung adenocarcinoma, mutations in 22 out of 40 common cancer genes were under significant subclonal selection, including classical tumour initiators such as TP53 and KRAS. We defined evolutionary dependencies between drivers, mutational processes and whole genome doubling (WGD) events. Despite patients having a history of smoking, 8% of lung adenocarcinomas lacked evidence of tobacco-induced mutagenesis. These tumours also had similar detection rates for EGFR mutations and for RET, ROS1, ALK and MET oncogenic isoforms compared with tumours in never-smokers, which suggests that they have a similar aetiology and pathogenesis. Large subclonal expansions were associated with positive subclonal selection. Patients with tumours harbouring recent subclonal expansions, on the terminus of a phylogenetic branch, had significantly shorter disease-free survival. Subclonal WGD was detected in 19% of tumours, and 10% of tumours harboured multiple subclonal WGDs in parallel. Subclonal, but not truncal, WGD was associated with shorter disease-free survival. Copy number heterogeneity was associated with extrathoracic relapse within 1 year after surgery. These data demonstrate the importance of clonal expansion, WGD and copy number instability in determining the timing and patterns of relapse in non-small cell lung cancer and provide a comprehensive clinical cancer evolutionary data resource