Semi-static hedging for certain Margrabe type options with barriers

It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of the results are extended to variants obtained by means of Brownian subordination. In order to increase the liquidity of the hedging instruments for certain currency options, the duality principle can be applied to set up hedges in a foreign market by using only European vanilla options sometimes along with a risk-less bond. Since the semi-static hedges in the Black-Scholes economy are exact, closed form valuation formulas for certain barrier options can be easily derived.Comment: 18 page

Quantum Point Contacts and Coherent Electron Focusing

I. Introduction II. Electrons at the Fermi level III. Conductance quantization of a quantum point contact IV. Optical analogue of the conductance quantization V. Classical electron focusing VI. Electron focusing as a transmission problem VII. Coherent electron focusing (Experiment, Skipping orbits and magnetic edge states, Mode-interference and coherent electron focusing) VIII. Other mode-interference phenomenaComment: #3 of a series of 4 legacy reviews on QPC'

Multimorbidity Patterns in the Elderly: A New Approach of Disease Clustering Identifies Complex Interrelations between Chronic Conditions

Objective: Multimorbidity is a common problem in the elderly that is significantly associated with higher mortality, increased disability and functional decline. Information about interactions of chronic diseases can help to facilitate diagnosis, amend prevention and enhance the patients ’ quality of life. The aim of this study was to increase the knowledge of specific processes of multimorbidity in an unselected elderly population by identifying patterns of statistically significantly associated comorbidity. Methods: Multimorbidity patterns were identified by exploratory tetrachoric factor analysis based on claims data of 63,104 males and 86,176 females in the age group 65+. Analyses were based on 46 diagnosis groups incorporating all ICD-10 diagnoses of chronic diseases with a prevalence $ 1%. Both genders were analyzed separately. Persons were assigned to multimorbidity patterns if they had at least three diagnosis groups with a factor loading of 0.25 on the corresponding pattern. Results: Three multimorbidity patterns were found: 1) cardiovascular/metabolic disorders [prevalence female: 30%; male: 39%], 2) anxiety/depression/somatoform disorders and pain [34%; 22%], and 3) neuropsychiatric disorders [6%; 0.8%]. The sampling adequacy was meritorious (Kaiser-Meyer-Olkin measure: 0.85 and 0.84, respectively) and the factors explained a large part of the variance (cumulative percent: 78 % and 75%, respectively). The patterns were largely age-dependent an

Reciprocity as a foundation of financial economics

This paper argues that the subsistence of the fundamental theorem of contemporary financial mathematics is the ethical concept ‘reciprocity’. The argument is based on identifying an equivalence between the contemporary, and ostensibly ‘value neutral’, Fundamental Theory of Asset Pricing with theories of mathematical probability that emerged in the seventeenth century in the context of the ethical assessment of commercial contracts in a framework of Aristotelian ethics. This observation, the main claim of the paper, is justified on the basis of results from the Ultimatum Game and is analysed within a framework of Pragmatic philosophy. The analysis leads to the explanatory hypothesis that markets are centres of communicative action with reciprocity as a rule of discourse. The purpose of the paper is to reorientate financial economics to emphasise the objectives of cooperation and social cohesion and to this end, we offer specific policy advice

Study protocol of a Dutch smoking cessation e-health program

<p>Abstract</p> <p>Background</p> <p>The study aims to test the differential effects of a web-based text and a web-based video-driven computer-tailored approach for lower socio-economic status (LSES) and higher socio-economic status (HSES) smokers which incorporate multiple computer-tailored feedback moments. The two programs differ only in the mode of delivery (video- versus text-based messages). The paper aims to describe the development and design of the two computer-tailored programs.</p> <p>Methods/design</p> <p>Respondents who smoked at the time of the study inclusion, who were motivated to quit within the following six months and who were aged 18 or older were included in the program. The study is a randomized control trial with a 2 (video/text) * 2(LSES/HSES) design. Respondents were assigned either to one of the intervention groups (text versus video tailored feedback) or to the control group (non-tailored generic advice). In all three conditions participants were asked to fill in the baseline questionnaire based on the I-Change model. The questionnaire assessed socio-demographics, attitude towards smoking, knowledge, self-efficacy, social influence, depression, level of addiction, action planning, goal actions, intention to quit smoking, seven-day point prevalence and continued abstinence. Follow-up measurements were conducted at six and twelve months after baseline.</p> <p>Discussion</p> <p>The present paper describes the development of the two computer-tailored smoking cessation programs, their components and the design of the study. The study results reveal different working mechanisms of multiple tailored smoking cessation interventions and will help us to gain more insight into effective strategies to target different subgroups, especially smokers with a lower socio-economic status.</p> <p>Trial registration</p> <p>Dutch Trial Register <a href="http://www.trialregister.nl/trialreg/admin/rctview.asp?TC=NTR3102">NTR3102</a></p

Structure of the NheA Component of the Nhe Toxin from Bacillus cereus: Implications for Function

The structure of NheA, a component of the Bacillus cereus Nhe tripartite toxin, has been solved at 2.05 Å resolution using selenomethionine multiple-wavelength anomalous dispersion (MAD). The structure shows it to have a fold that is similar to the Bacillus cereus Hbl-B and E. coli ClyA toxins, and it is therefore a member of the ClyA superfamily of α-helical pore forming toxins (α-PFTs), although its head domain is significantly enlarged compared with those of ClyA or Hbl-B. The hydrophobic β-hairpin structure that is a characteristic of these toxins is replaced by an amphipathic β-hairpin connected to the main structure via a β-latch that is reminiscent of a similar structure in the β-PFT Staphylococcus aureus α-hemolysin. Taken together these results suggest that, although it is a member of an archetypal α-PFT family of toxins, NheA may be capable of forming a β rather than an α pore

Jet energy measurement with the ATLAS detector in proton-proton collisions at root s=7 TeV

The jet energy scale and its systematic uncertainty are determined for jets measured with the ATLAS detector at the LHC in proton-proton collision data at a centre-of-mass energy of √s = 7TeV corresponding to an integrated luminosity of 38 pb-1. Jets are reconstructed with the anti-kt algorithm with distance parameters R=0. 4 or R=0. 6. Jet energy and angle corrections are determined from Monte Carlo simulations to calibrate jets with transverse momenta pT≥20 GeV and pseudorapidities {pipe}η{pipe}<4. 5. The jet energy systematic uncertainty is estimated using the single isolated hadron response measured in situ and in test-beams, exploiting the transverse momentum balance between central and forward jets in events with dijet topologies and studying systematic variations in Monte Carlo simulations. The jet energy uncertainty is less than 2. 5 % in the central calorimeter region ({pipe}η{pipe}<0. 8) for jets with 60≤pT<800 GeV, and is maximally 14 % for pT<30 GeV in the most forward region 3. 2≤{pipe}η{pipe}<4. 5. The jet energy is validated for jet transverse momenta up to 1 TeV to the level of a few percent using several in situ techniques by comparing a well-known reference such as the recoiling photon pT, the sum of the transverse momenta of tracks associated to the jet, or a system of low-pT jets recoiling against a high-pT jet. More sophisticated jet calibration schemes are presented based on calorimeter cell energy density weighting or hadronic properties of jets, aiming for an improved jet energy resolution and a reduced flavour dependence of the jet response. The systematic uncertainty of the jet energy determined from a combination of in situ techniques is consistent with the one derived from single hadron response measurements over a wide kinematic range. The nominal corrections and uncertainties are derived for isolated jets in an inclusive sample of high-pT jets. Special cases such as event topologies with close-by jets, or selections of samples with an enhanced content of jets originating from light quarks, heavy quarks or gluons are also discussed and the corresponding uncertainties are determined. © 2013 CERN for the benefit of the ATLAS collaboration

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT

Search for new phenomena in final states with an energetic jet and large missing transverse momentum in pp collisions at √ s = 8 TeV with the ATLAS detector

Results of a search for new phenomena in final states with an energetic jet and large missing transverse momentum are reported. The search uses 20.3 fb−1 of √ s = 8 TeV data collected in 2012 with the ATLAS detector at the LHC. Events are required to have at least one jet with pT > 120 GeV and no leptons. Nine signal regions are considered with increasing missing transverse momentum requirements between Emiss T > 150 GeV and Emiss T > 700 GeV. Good agreement is observed between the number of events in data and Standard Model expectations. The results are translated into exclusion limits on models with either large extra spatial dimensions, pair production of weakly interacting dark matter candidates, or production of very light gravitinos in a gauge-mediated supersymmetric model. In addition, limits on the production of an invisibly decaying Higgs-like boson leading to similar topologies in the final state are presente