Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy

We study a hybrid model of Schobel-Zhu-Hull-White-type from a singular-perturbation-analysis perspective. The merit of the paper is twofold: On one hand, we find boundary conditions for the deterministic non-linear degenerate parabolic partial differential equation for the evolution of the stock price. On the other hand, we combine two-scales regular- and singular-perturbation techniques to find an approximate solution to the pricing PDE. The aim is to produce an expression that can be evaluated numerically very fast

Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy

We study a hybrid model of Sch¨obel-Zhu-Hull-White-type from a singular-perturbationanalysis perspective. The merit of the paper is twofold: On one hand, we find boundary conditions for the deterministic non-linear degenerate parabolic partial differential equation for the evolution of the stock price. On the other hand, we combine two-scales regular- and singular-perturbation techniques to find an approximate solution to the pricing PDE. The aim is to produce an expression that can be evaluated numerically very fast

The Optical Alignment System of the ZEUS MicroVertex Detector

The laser alignment system of the ZEUS microvertex detector is described. The detector was installed in 2001 as part of an upgrade programme in preparation for the second phase of electron-proton physics at the HERA collider. The alignment system monitors the position of the vertex detector support structure with respect to the central tracking detector using semi-transparent amorphous-silicon sensors and diode lasers. The system is fully integrated into the general environmental monitoring of the ZEUS detector and data has been collected over a period of 5 years. The primary aim of defining periods of stability for track-based alignment has been achieved and the system is able to measure movements of the support structure to a precision around $10 \mu$m.Comment: 38 pages; 17 figure

Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments

Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, it can be challenging to compute WWR efficiently. We propose to split the relevant exposure profile into two parts: an independent part and a WWR-driven part. For the first part, already available exposures can be used where correlations between the funding spread and market risks are ignored. We express the second part of the exposure profile in terms of the stochastic drivers and approximate these by a common Gaussian stochastic factor. The proposed approximation is generic, is an add-on to the existing xVA calculations and provides an efficient and robust way to include WWR in FVA modelling. Furthermore, the approximation provides some intuition on WWR. Case studies are presented for an interest rate swap and a representative multi-currency portfolio of swaps. They illustrate that the approximation method is applicable in a practical setting due to its generic nature. We analyze the approximation error and illustrate how the approximation can be used to compute WWR sensitivities, which are needed for risk management

ECFA Detector R&D Panel, Review Report

Two special calorimeters are foreseen for the instrumentation of the very forward region of an ILC or CLIC detector; a luminometer (LumiCal) designed to measure the rate of low angle Bhabha scattering events with a precision better than 10$^{-3}$ at the ILC and 10$^{-2}$ at CLIC, and a low polar-angle calorimeter (BeamCal). The latter will be hit by a large amount of beamstrahlung remnants. The intensity and the spatial shape of these depositions will provide a fast luminosity estimate, as well as determination of beam parameters. The sensors of this calorimeter must be radiation-hard. Both devices will improve the e.m. hermeticity of the detector in the search for new particles. Finely segmented and very compact electromagnetic calorimeters will match these requirements. Due to the high occupancy, fast front-end electronics will be needed. Monte Carlo studies were performed to investigate the impact of beam-beam interactions and physics background processes on the luminosity measurement, and of beamstrahlung on the performance of BeamCal, as well as to optimise the design of both calorimeters. Dedicated sensors, front-end and ADC ASICs have been designed for the ILC and prototypes are available. Prototypes of sensor planes fully assembled with readout electronics have been studied in electron beams.Comment: 61 pages, 51 figure

Differentiation dynamics of mammary epithelial cells revealed by single-cell RNA sequencing.

Characterising the hierarchy of mammary epithelial cells (MECs) and how they are regulated during adult development is important for understanding how breast cancer arises. Here we report the use of single-cell RNA sequencing to determine the gene expression profile of MECs across four developmental stages; nulliparous, mid gestation, lactation and post involution. Our analysis of 23,184 cells identifies 15 clusters, few of which could be fully characterised by a single marker gene. We argue instead that the epithelial cells-especially in the luminal compartment-should rather be conceptualised as being part of a continuous spectrum of differentiation. Furthermore, our data support the existence of a common luminal progenitor cell giving rise to intermediate, restricted alveolar and hormone-sensing progenitors. This luminal progenitor compartment undergoes transcriptional changes in response to a full pregnancy, lactation and involution. In summary, our results provide a global, unbiased view of adult mammary gland development

Combined QCD and electroweak analysis of HERA data

A simultaneous fit of parton distribution functions (PDFs) and electroweak parameters to HERA data on deep inelastic scattering is presented. The input data are the neutral current and charged current inclusive cross sections which were previously used in the QCD analysis leading to the HERAPDF2.0 PDFs. In addition, the polarisation of the electron beam was taken into account for the ZEUS data recorded between 2004 and 2007. Results on the vector and axial-vector couplings of the Z boson to u- and d-type quarks, on the value of the electroweak mixing angle and the mass of the W boson are presented. The values obtained for the electroweak parameters are in agreement with Standard Model predictions.Comment: 32 pages, 10 figures, accepted by Phys. Rev. D. Small corrections from proofing process and small change to Fig. 12 and Table

Limits on the effective quark radius from inclusive epep scattering at HERA

The high-precision HERA data allows searches up to TeV scales for Beyond the Standard Model contributions to electron-quark scattering. Combined measurements of the inclusive deep inelastic cross sections in neutral and charged current $ep$ scattering corresponding to a luminosity of around 1 fb$^{-1}$ have been used in this analysis. A new approach to the beyond the Standard Model analysis of the inclusive $ep$ data is presented; simultaneous fits of parton distribution functions together with contributions of "new physics" processes were performed. Results are presented considering a finite radius of quarks within the quark form-factor model. The resulting 95% C.L. upper limit on the effective quark radius is $0.43\cdot 10^{-16}$ cm.Comment: 10 pages, 4 figures, accepted by Phys. Lett.

Search for a narrow baryonic state decaying to pKS0{pK^0_S} and pˉKS0{\bar{p}K^0_S} in deep inelastic scattering at HERA

A search for a narrow baryonic state in the $pK^0_S$ and $\bar{p}K^0_S$ system has been performed in $ep$ collisions at HERA with the ZEUS detector using an integrated luminosity of 358 pb$^{-1}$ taken in 2003-2007. The search was performed with deep inelastic scattering events at an $ep$ centre-of-mass energy of 318 GeV for exchanged photon virtuality, $Q^2$, between 20 and 100 $\rm{} GeV^{2}$. Contrary to evidence presented for such a state around 1.52 GeV in a previous ZEUS analysis using a sample of 121 pb$^{-1}$ taken in 1996-2000, no resonance peak was found in the $p(\bar{p})K^0_S$ invariant-mass distribution in the range 1.45-1.7 GeV. Upper limits on the production cross section are set.Comment: 16 pages, 4 figures, accepted by Phys. Lett. B. Minor changes from journal reviewing process, including a small correction to figure