Scenario analysis for derivatives portfolios via dynamic factor models

A classic approach to financial risk management is the use of scenario analysis to stress test portfolios. In the case of an S&P 500 options portfolio, for example, a scenario analysis might report a P&L of −1m in the event the S&P 500 falls 5% and its implied volatility surface increases by 3 percentage points. But how accurate is this reported value of −1m? Such a number is typically computed under the (implicit) assumption that all other risk factors are set to zero. But this assumption is generally not justified as it ignores the often substantial statistical dependence among the risk factors. In particular, the expected values of the non-stressed factors conditional on the values of the stressed factors are generally non-zero. Moreover, even if the non-stressed factors were set to their conditional expected values rather than zero, the reported P&L might still be inaccurate due to convexity effects, particularly in the case of derivatives portfolios. A further weakness of this standard approach to scenario analysis is that the reported P&L numbers are generally not back-tested so their accuracy is not subjected to any statistical tests. There are many reasons for this but perhaps the main one is that scenario analysis for derivatives portfolios is typically conducted without having a probabilistic model for the underlying dynamics of the risk factors under the physical measure P. In this paper we address these weaknesses by embedding the scenario analysis within a dynamic factor model for the underlying risk factors. Such an approach typically requires multivariate state-space models that can model the real-world behavior of financial markets where risk factors are often latent, and that are sufficiently tractable so that we can compute (or simulate from) the conditional distribution of unstressed risk factors. We demonstrate how this can be done for observable as well as latent risk factors in examples drawn from options and fixed income markets. We show how the two forms of scenario analysis can lead to dramatically different results particularly in the case of portfolios that have been designed to be neutral to a subset of the risk factors

Novel freeze-drying methods to produce a range of collagen-glycosaminoglycan scaffolds with tailored mean pore sizes.

The pore structure of three-dimensional scaffolds used in tissue engineering has been shown to significantly influence cellular activity. As the optimal pore size is dependant on the specifics of the tissue engineering application, the ability to alter the pore size over a wide range is essential for a particular scaffold to be suitable for multiple applications. With this in mind, the aim of this study was to develop methodologies to produce a range of collagen-glycosaminoglycan (CG) scaffolds with tailored mean pore sizes. The pore size of CG scaffolds is established during the freeze-drying fabrication process. In this study, freezing temperature was varied (−10 degrees C to −70 degrees C) and an annealing step was introduced to the process to determine their effects on pore size. Annealing is an additional step in the freeze-drying cycle that involves raising the temperature of the frozen suspension to increase the rate of ice crystal growth. The results show that the pore size of the scaffolds decreased as the freezing temperature was reduced. Additionally, the introduction of an annealing step during freeze-drying was found to result in a significant increase (40%) in pore size. Taken together, these results demonstrate that the methodologies developed in this study can be used to produce a range of CG scaffolds with mean pore sizes from 85 to 325 microm. This is a substantial improvement on the range of pore sizes that were possible to produce previously (96-150 microm). The methods developed in this study provide a basis for the investigation of the effects of pore size on both in vitro and in vivo performance and for the determination of the optimal pore structure for specific tissue engineering applications

Crosslinking and Mechanical Properties Significantly Influence Cell Attachment, Proliferation, and Migration Within Collagen Glycosaminoglycan Scaffolds.

Crosslinking and the resultant changes in mechanical properties have been shown to influence cellular activity within collagen biomaterials. With this in mind, we sought to determine the effects of crosslinking on both the compressive modulus of collagen-glycosaminoglycan scaffolds and the activity of osteoblasts seeded within them. Dehydrothermal, 1-ethyl-3-3-dimethyl aminopropyl carbodiimide and glutaraldehyde crosslinking treatments were first investigated for their effect on the compressive modulus of the scaffolds. After this, the most promising treatments were used to study the effects of crosslinking on cellular attachment, proliferation, and infiltration. Our experiments have demonstrated that a wide range of scaffold compressive moduli can be attained by varying the parameters of the crosslinking treatments. 1-Ethyl-3-3-dimethyl aminopropyl carbodiimide and glutaraldehyde treatments produced the stiffest scaffolds (fourfold increase when compared to dehydrothermal crosslinking). When cells were seeded onto the scaffolds, the stiffest scaffolds also showed increased cell number and enhanced cellular distribution when compared to the other groups. Taken together, these results indicate that crosslinking can be used to produce collagen-glycosaminoglycan scaffolds with a range of compressive moduli, and that increased stiffness enhances cellular activity within the scaffolds

The effects of collagen concentration and crosslink density on the biological, structural and mechanical properties of collagen-GAG scaffolds for bone tissue engineering.

In this study, we examined the effects of varying collagen concentration and crosslink density on the biological, structural and mechanical properties of collagen-GAG scaffolds for bone tissue engineering. Three different collagen contents (0.25%, 0.5% and 1% collagen) and two different dehydrothermal (DHT) crosslinking processes [1] 105 degrees C for 24 h and [2] 150 degrees C for 48 h were investigated. These scaffolds were assessed for (1) pore size, (2) permeability (3) compressive strength and (4) cell viability. The largest pore size, permeability rate, compressive modulus, cell number and cell metabolic activity was all found to occur on the 1% collagen scaffold due to its increased collagen composition and the DHT treatment at 150 degrees C was found to significantly improve the mechanical properties and not to affect cellular number or metabolic activity. These results indicate that doubling the collagen content to 1% and dehydrothermally crosslinking the scaffold at 150 degrees C for 48 h has enhanced mechanical and biological properties of the scaffold making it highly attractive for use in bone tissue engineering

Gene expression by marrow stromal cells in a porous collagen-glycosaminoglycan scaffold is affected by pore size and mechanical stimulation.

Marrow stromal cell (MSC) populations, which are a potential source of undifferentiated mesenchymal cells, and culture scaffolds that mimic natural extracellular matrix are attractive options for orthopaedic tissue engineering. A type I collagen-glycosaminoglycan (CG) scaffold that has previously been used clinically for skin regeneration was recently shown to support expression of bone-associated proteins and mineralisation by MSCs cultured in the presence of osteogenic supplements. Here we follow RNA markers of osteogenic differentiation in this scaffold. We demonstrate that transcripts of the late stage markers bone sialoprotein and osteocalcin are present at higher levels in scaffold constructs than in two-dimensional culture, and that considerable gene induction can occur in this scaffold even in the absence of soluble osteogenic supplements. We also find that bone-related gene expression is affected by pore size, mechanical constraint, and uniaxial cyclic strain of the CG scaffold. The data presented here further establish the CG scaffold as a potentially valuable substrate for orthopaedic tissue engineering and for research on the mechanical interactions between cells and their environment, and suggest that a more freely-contracting scaffold with larger pore size may provide an environment more conducive to osteogenesis than constrained scaffolds with smaller pore sizes

Melanoma cells break down LPA to establish local gradients that drive chemotactic dispersal.

The high mortality of melanoma is caused by rapid spread of cancer cells, which occurs unusually early in tumour evolution. Unlike most solid tumours, thickness rather than cytological markers or differentiation is the best guide to metastatic potential. Multiple stimuli that drive melanoma cell migration have been described, but it is not clear which are responsible for invasion, nor if chemotactic gradients exist in real tumours. In a chamber-based assay for melanoma dispersal, we find that cells migrate efficiently away from one another, even in initially homogeneous medium. This dispersal is driven by positive chemotaxis rather than chemorepulsion or contact inhibition. The principal chemoattractant, unexpectedly active across all tumour stages, is the lipid agonist lysophosphatidic acid (LPA) acting through the LPA receptor LPAR1. LPA induces chemotaxis of remarkable accuracy, and is both necessary and sufficient for chemotaxis and invasion in 2-D and 3-D assays. Growth factors, often described as tumour attractants, cause negligible chemotaxis themselves, but potentiate chemotaxis to LPA. Cells rapidly break down LPA present at substantial levels in culture medium and normal skin to generate outward-facing gradients. We measure LPA gradients across the margins of melanomas in vivo, confirming the physiological importance of our results. We conclude that LPA chemotaxis provides a strong drive for melanoma cells to invade outwards. Cells create their own gradients by acting as a sink, breaking down locally present LPA, and thus forming a gradient that is low in the tumour and high in the surrounding areas. The key step is not acquisition of sensitivity to the chemoattractant, but rather the tumour growing to break down enough LPA to form a gradient. Thus the stimulus that drives cell dispersal is not the presence of LPA itself, but the self-generated, outward-directed gradient

Measurement of the cross-section and charge asymmetry of WW bosons produced in proton-proton collisions at s=8\sqrt{s}=8 TeV with the ATLAS detector

This paper presents measurements of the $W^+ \rightarrow \mu^+\nu$ and $W^- \rightarrow \mu^-\nu$ cross-sections and the associated charge asymmetry as a function of the absolute pseudorapidity of the decay muon. The data were collected in proton--proton collisions at a centre-of-mass energy of 8 TeV with the ATLAS experiment at the LHC and correspond to a total integrated luminosity of 20.2~\mbox{fb^{-1}}. The precision of the cross-section measurements varies between 0.8% to 1.5% as a function of the pseudorapidity, excluding the 1.9% uncertainty on the integrated luminosity. The charge asymmetry is measured with an uncertainty between 0.002 and 0.003. The results are compared with predictions based on next-to-next-to-leading-order calculations with various parton distribution functions and have the sensitivity to discriminate between them.Comment: 38 pages in total, author list starting page 22, 5 figures, 4 tables, submitted to EPJC. All figures including auxiliary figures are available at https://atlas.web.cern.ch/Atlas/GROUPS/PHYSICS/PAPERS/STDM-2017-13

Single hadron response measurement and calorimeter jet energy scale uncertainty with the ATLAS detector at the LHC

The uncertainty on the calorimeter energy response to jets of particles is derived for the ATLAS experiment at the Large Hadron Collider (LHC). First, the calorimeter response to single isolated charged hadrons is measured and compared to the Monte Carlo simulation using proton-proton collisions at centre-of-mass energies of sqrt(s) = 900 GeV and 7 TeV collected during 2009 and 2010. Then, using the decay of K_s and Lambda particles, the calorimeter response to specific types of particles (positively and negatively charged pions, protons, and anti-protons) is measured and compared to the Monte Carlo predictions. Finally, the jet energy scale uncertainty is determined by propagating the response uncertainty for single charged and neutral particles to jets. The response uncertainty is 2-5% for central isolated hadrons and 1-3% for the final calorimeter jet energy scale.Comment: 24 pages plus author list (36 pages total), 23 figures, 1 table, submitted to European Physical Journal

Search for chargino-neutralino production with mass splittings near the electroweak scale in three-lepton final states in √s=13 TeV pp collisions with the ATLAS detector

A search for supersymmetry through the pair production of electroweakinos with mass splittings near the electroweak scale and decaying via on-shell W and Z bosons is presented for a three-lepton final state. The analyzed proton-proton collision data taken at a center-of-mass energy of √s=13  TeV were collected between 2015 and 2018 by the ATLAS experiment at the Large Hadron Collider, corresponding to an integrated luminosity of 139  fb−1. A search, emulating the recursive jigsaw reconstruction technique with easily reproducible laboratory-frame variables, is performed. The two excesses observed in the 2015–2016 data recursive jigsaw analysis in the low-mass three-lepton phase space are reproduced. Results with the full data set are in agreement with the Standard Model expectations. They are interpreted to set exclusion limits at the 95% confidence level on simplified models of chargino-neutralino pair production for masses up to 345 GeV

Measurements of fiducial and differential cross sections for Higgs boson production in the diphoton decay channel at s√=8 TeV with ATLAS

Measurements of fiducial and differential cross sections are presented for Higgs boson production in proton-proton collisions at a centre-of-mass energy of s√=8 TeV. The analysis is performed in the H → γγ decay channel using 20.3 fb−1 of data recorded by the ATLAS experiment at the CERN Large Hadron Collider. The signal is extracted using a fit to the diphoton invariant mass spectrum assuming that the width of the resonance is much smaller than the experimental resolution. The signal yields are corrected for the effects of detector inefficiency and resolution. The pp → H → γγ fiducial cross section is measured to be 43.2 ±9.4(stat.) − 2.9 + 3.2 (syst.) ±1.2(lumi)fb for a Higgs boson of mass 125.4GeV decaying to two isolated photons that have transverse momentum greater than 35% and 25% of the diphoton invariant mass and each with absolute pseudorapidity less than 2.37. Four additional fiducial cross sections and two cross-section limits are presented in phase space regions that test the theoretical modelling of different Higgs boson production mechanisms, or are sensitive to physics beyond the Standard Model. Differential cross sections are also presented, as a function of variables related to the diphoton kinematics and the jet activity produced in the Higgs boson events. The observed spectra are statistically limited but broadly in line with the theoretical expectations