1,771 research outputs found
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 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 at the ILC and 10 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 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 scattering corresponding to a luminosity of around 1
fb have been used in this analysis. A new approach to the beyond the
Standard Model analysis of the inclusive 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 cm.Comment: 10 pages, 4 figures, accepted by Phys. Lett.
Search for a narrow baryonic state decaying to and in deep inelastic scattering at HERA
A search for a narrow baryonic state in the and
system has been performed in collisions at HERA with the ZEUS detector
using an integrated luminosity of 358 pb taken in 2003-2007. The search
was performed with deep inelastic scattering events at an centre-of-mass
energy of 318 GeV for exchanged photon virtuality, , between 20 and 100
. Contrary to evidence presented for such a state around 1.52
GeV in a previous ZEUS analysis using a sample of 121 pb taken in
1996-2000, no resonance peak was found in the 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
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