Parametric Pricing of Higher Order Moments in S&P500 Options.

A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain volatility smiles and skews in stock options. The data consist of S&P500 options traded on select days in April, 1995, a total sample of over 500,000 observations. A number of performance criteria are used to evaluate the alternative models. The empirical results show that pricing higher order moments yield improvements in the pricing of options over the Black-Scholes model as well as other models.Option Pricing; Volatility Smiles and Skews; Generalized Student t; Skewness; Kurtosis; Time-Varying Volatility.

Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns

Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality. In contrast, during periods of tranquility, movements in exchange rates are relatively small, resulting in unconditional empirical returns distributions with thinner tails than the normal distribution. Pricing currency options during tranquil periods on the assumption of normal returns yields implied volatility frowns, with over-pricing at both deep-in and deep-out-of-the-money contracts and under-pricing for at-the-money contracts. This paper shows how a parametric class of thin-tailed distributions based on the generalized Student t family of distributions can price currency options during periods of tranquility.Option pricing; volatility frowns; thin-tails; generalized Student t.

Growth of (110) Diamond using pure Dicarbon

We use a density-functional based tight-binding method to study diamond growth steps by depositing dicarbon species onto a hydrogen-free diamond (110) surface. Subsequent C_2 molecules are deposited on an initially clean surface, in the vicinity of a growing adsorbate cluster, and finally, near vacancies just before completion of a full new monolayer. The preferred growth stages arise from C_2n clusters in near ideal lattice positions forming zigzag chains running along the [-110] direction parallel to the surface. The adsorption energies are consistently exothermic by 8--10 eV per C_2, depending on the size of the cluster. The deposition barriers for these processes are in the range of 0.0--0.6 eV. For deposition sites above C_2n clusters the adsorption energies are smaller by 3 eV, but diffusion to more stable positions is feasible. We also perform simulations of the diffusion of C_2 molecules on the surface in the vicinity of existing adsorbate clusters using an augmented Lagrangian penalty method. We find migration barriers in excess of 3 eV on the clean surface, and 0.6--1.0 eV on top of graphene-like adsorbates. The barrier heights and pathways indicate that the growth from gaseous dicarbons proceeds either by direct adsorption onto clean sites or after migration on top of the existing C_2n chains.Comment: 8 Pages, 7 figure

Radiative and Semileptonic B Decays Involving Higher K-Resonances in the Final States

We study the radiative and semileptonic B decays involving a spin-$J$ resonant $K_J^{(*)}$ with parity $(-1)^J$ for $K_J^*$ and $(-1)^{J+1}$ for $K_J$ in the final state. Using the large energy effective theory (LEET) techniques, we formulate $B \to K_J^{(*)}$ transition form factors in the large recoil region in terms of two independent LEET functions $\zeta_\perp^{K_J^{(*)}}$ and $\zeta_\parallel^{K_J^{(*)}}$, the values of which at zero momentum transfer are estimated in the BSW model. According to the QCD counting rules, $\zeta_{\perp,\parallel}^{K_J^{(*)}}$ exhibit a dipole dependence in $q^2$. We predict the decay rates for $B \to K_J^{(*)} \gamma$, $B \to K_J^{(*)} \ell^+ \ell^-$ and $B \to K_J^{(*)}\nu \bar{\nu}$. The branching fractions for these decays with higher $K$-resonances in the final state are suppressed due to the smaller phase spaces and the smaller values of $\zeta^{K_J^{(*)}}_{\perp,\parallel}$. Furthermore, if the spin of $K_J^{(*)}$ becomes larger, the branching fractions will be further suppressed due to the smaller Clebsch-Gordan coefficients defined by the polarization tensors of the $K_J^{(*)}$. We also calculate the forward backward asymmetry of the $B \to K_J^{(*)} \ell^+ \ell^-$ decay, for which the zero is highly insensitive to the $K$-resonances in the LEET parametrization.Comment: 27 pages, 4 figures, 7 tables;contents and figures corrected, title and references revise

Measurement of the photon+b+b-jet production differential cross section in ppˉp\bar{p} collisions at \sqrt{s}=1.96~\TeV

We present measurements of the differential cross section dsigma/dpT_gamma for the inclusive production of a photon in association with a b-quark jet for photons with rapidities |y_gamma|< 1.0 and 30<pT_gamma <300 GeV, as well as for photons with 1.5<|y_gamma|< 2.5 and 30< pT_gamma <200 GeV, where pT_gamma is the photon transverse momentum. The b-quark jets are required to have pT>15 GeV and rapidity |y_jet| < 1.5. The results are based on data corresponding to an integrated luminosity of 8.7 fb^-1, recorded with the D0 detector at the Fermilab Tevatron $p\bar{p}$ Collider at sqrt(s)=1.96 TeV. The measured cross sections are compared with next-to-leading order perturbative QCD calculations using different sets of parton distribution functions as well as to predictions based on the kT-factorization QCD approach, and those from the Sherpa and Pythia Monte Carlo event generators.Comment: 10 pages, 9 figures, submitted to Phys. Lett.

b-Jet Identification in the D0 Experiment

Algorithms distinguishing jets originating from b quarks from other jet flavors are important tools in the physics program of the D0 experiment at the Fermilab Tevatron p-pbar collider. This article describes the methods that have been used to identify b-quark jets, exploiting in particular the long lifetimes of b-flavored hadrons, and the calibration of the performance of these algorithms based on collider data.Comment: submitted to Nuclear Instruments and Methods in Physics Research

D* Production in Deep Inelastic Scattering at HERA

This paper presents measurements of D^{*\pm} production in deep inelastic scattering from collisions between 27.5 GeV positrons and 820 GeV protons. The data have been taken with the ZEUS detector at HERA. The decay channel $D^{*+}\to (D^0 \to K^- \pi^+) \pi^+$ (+ c.c.) has been used in the study. The $e^+p$ cross section for inclusive D^{*\pm} production with $5<Q^2<100 GeV^2$ and $y<0.7$ is 5.3 \pms 1.0 \pms 0.8 nb in the kinematic region {$1.3<p_T(D^{*\pm})<9.0$ GeV and $| \eta(D^{*\pm}) |<1.5$}. Differential cross sections as functions of p_T(D^{*\pm}), $\eta(D^{*\pm}), W$ and $Q^2$ are compared with next-to-leading order QCD calculations based on the photon-gluon fusion production mechanism. After an extrapolation of the cross section to the full kinematic region in p_T(D^{*\pm}) and $\eta$(D^{*\pm}), the charm contribution $F_2^{c\bar{c}}(x,Q^2)$ to the proton structure function is determined for Bjorken $x$ between 2 $\cdot$ 10$^{-4}$ and 5 $\cdot$ 10$^{-3}$.Comment: 17 pages including 4 figure

Formation of dense partonic matter in relativistic nucleus-nucleus collisions at RHIC: Experimental evaluation by the PHENIX collaboration

Extensive experimental data from high-energy nucleus-nucleus collisions were recorded using the PHENIX detector at the Relativistic Heavy Ion Collider (RHIC). The comprehensive set of measurements from the first three years of RHIC operation includes charged particle multiplicities, transverse energy, yield ratios and spectra of identified hadrons in a wide range of transverse momenta (p_T), elliptic flow, two-particle correlations, non-statistical fluctuations, and suppression of particle production at high p_T. The results are examined with an emphasis on implications for the formation of a new state of dense matter. We find that the state of matter created at RHIC cannot be described in terms of ordinary color neutral hadrons.Comment: 510 authors, 127 pages text, 56 figures, 1 tables, LaTeX. Submitted to Nuclear Physics A as a regular article; v3 has minor changes in response to referee comments. Plain text data tables for the points plotted in figures for this and previous PHENIX publications are (or will be) publicly available at http://www.phenix.bnl.gov/papers.htm

Search for pair production of the scalar top quark in the electron-muon final state

We report the result of a search for the pair production of the lightest supersymmetric partner of the top quark ($\tilde{t}_1$) in $p\bar{p}$ collisions at a center-of-mass energy of 1.96 TeV at the Fermilab Tevatron collider corresponding to an integrated luminosity of 5.4 fb$^{-1}$. The scalar top quarks are assumed to decay into a $b$ quark, a charged lepton, and a scalar neutrino ($\tilde{\nu}$), and the search is performed in the electron plus muon final state. No significant excess of events above the standard model prediction is detected, and improved exclusion limits at the 95% C.L. are set in the the ($M_{\tilde{t}_1}$,$M_{\tilde{\nu}}$) mass plane

Search for the standard model Higgs boson in tau final states

We present a search for the standard model Higgs boson using hadronically decaying tau leptons, in 1 inverse femtobarn of data collected with the D0 detector at the Fermilab Tevatron ppbar collider. We select two final states: tau plus missing transverse energy and b jets, and tau+ tau- plus jets. These final states are sensitive to a combination of associated W/Z boson plus Higgs boson, vector boson fusion and gluon-gluon fusion production processes. The observed ratio of the combined limit on the Higgs production cross section at the 95% C.L. to the standard model expectation is 29 for a Higgs boson mass of 115 GeV.Comment: publication versio