Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

Measurement of νˉμ\bar{\nu}_{\mu} and νμ\nu_{\mu} charged current inclusive cross sections and their ratio with the T2K off-axis near detector

We report a measurement of cross section $\sigma(\nu_{\mu}+{\rm nucleus}\rightarrow\mu^{-}+X)$ and the first measurements of the cross section $\sigma(\bar{\nu}_{\mu}+{\rm nucleus}\rightarrow\mu^{+}+X)$ and their ratio $R(\frac{\sigma(\bar \nu)}{\sigma(\nu)})$ at (anti-)neutrino energies below 1.5 GeV. We determine the single momentum bin cross section measurements, averaged over the T2K $\bar{\nu}/\nu$-flux, for the detector target material (mainly Carbon, Oxygen, Hydrogen and Copper) with phase space restricted laboratory frame kinematics of $\theta_{\mu}$500 MeV/c. The results are $\sigma(\bar{\nu})=\left( 0.900\pm0.029{\rm (stat.)}\pm0.088{\rm (syst.)}\right)\times10^{-39}$ and $\sigma(\nu)=\left( 2.41\ \pm0.022{\rm{(stat.)}}\pm0.231{\rm (syst.)}\ \right)\times10^{-39}$in units of cm$^{2}$/nucleon and$R\left(\frac{\sigma(\bar{\nu})}{\sigma(\nu)}\right)= 0.373\pm0.012{\rm (stat.)}\pm0.015{\rm (syst.)}$.Comment: 18 pages, 8 figure

Anisotropy studies around the galactic centre at EeV energies with the Auger Observatory

Data from the Pierre Auger Observatory are analyzed to search for anisotropies near the direction of the Galactic Centre at EeV energies. The exposure of the surface array in this part of the sky is already significantly larger than that of the fore-runner experiments. Our results do not support previous findings of localized excesses in the AGASA and SUGAR data. We set an upper bound on a point-like flux of cosmic rays arriving from the Galactic Centre which excludes several scenarios predicting sources of EeV neutrons from Sagittarius $A$. Also the events detected simultaneously by the surface and fluorescence detectors (the `hybrid' data set), which have better pointing accuracy but are less numerous than those of the surface array alone, do not show any significant localized excess from this direction.Comment: Matches published versio

Extended Analysis of HIV Infection in Cisgender Men and Transgender Women Who Have Sex with Men Receiving Injectable Cabotegravir for HIV Prevention: HPTN 083

HPTN 083 demonstrated that injectable cabotegravir (CAB) was superior to oral tenofovir disoproxil fumarate-emtricitabine (TDF-FTC) for HIV prevention in cisgender men and transgender women who have sex with men. We previously analyzed 58 infections in the blinded phase of HPTN 083 (16 in the CAB arm and 42 in the TDF-FTC arm). This report describes 52 additional infections that occurred up to 1 year after study unblinding (18 in the CAB arm and 34 in the TDF-FTC arm). Retrospective testing included HIV testing, viral load testing, quantification of study drug concentrations, and drug resistance testing. The new CAB arm infections included 7 with CAB administration within 6 months of the first HIV-positive visit (2 with on-time injections, 3 with ≥1 delayed injection, and 2 who restarted CAB) and 11 with no recent CAB administration. Three cases had integrase strand transfer inhibitor (INSTI) resistance (2 with on-time injections and 1 who restarted CAB). Among 34 CAB infections analyzed to date, diagnosis delays and INSTI resistance were significantly more common in infections with CAB administration within 6 months of the first HIV-positive visit. This report further characterizes HIV infections in persons receiving CAB preexposure prophylaxis and helps define the impact of CAB on the detection of infection and the emergence of INSTI resistance

A Historiometric Examination of Machiavellianism and a New Taxonomy of Leadership

Although researchers have extensively examined the relationship between charismatic leadership and Machiavellianism (Deluga, 2001; Gardner & Avolio, 1995; House & Howell, 1992), there has been a lack of investigation of Machiavellianism in relation to alternative forms of outstanding leadership. Thus, the purpose of this investigation was to examine the relationship between Machiavellianism and a new taxonomy of outstanding leadership comprised of charismatic, ideological, and pragmatic leaders. Using an historiometric approach, raters assessed Machiavellianism via the communications of 120 outstanding leaders in organizations across the domains of business, political, military, and religious institutions. Academic biographies were used to assess twelve general performance measures as well as twelve general controls and five communication specific controls. The results indicated that differing levels of Machiavellianism is evidenced across the differing leader types as well as differing leader orientation. Additionally, Machiavellianism appears negatively related to performance, though less so when type and orientation are taken into account.Yeshttps://us.sagepub.com/en-us/nam/manuscript-submission-guideline

Search for astrophysical electron antineutrinos in Super-Kamiokande with 0.01wt% gadolinium-loaded water

We report the first search result for the flux of astrophysical electron antineutrinos for energies O(10) MeV in the gadolinium-loaded Super-Kamiokande (SK) detector. In June 2020, gadolinium was introduced to the ultra-pure water of the SK detector in order to detect neutrons more efficiently. In this new experimental phase, SK-Gd, we can search for electron antineutrinos via inverse beta decay with efficient background rejection and higher signal efficiency thanks to the high efficiency of the neutron tagging technique. In this paper, we report the result for the initial stage of SK-Gd with a $22.5\times552$ $\rm kton\cdot day$ exposure at 0.01% Gd mass concentration. No significant excess over the expected background in the observed events is found for the neutrino energies below 31.3 MeV. Thus, the flux upper limits are placed at the 90% confidence level. The limits and sensitivities are already comparable with the previous SK result with pure-water ($22.5 \times 2970 \rm kton\cdot day$) owing to the enhanced neutron tagging

Search for Lorentz and CPT violation using sidereal time dependence of neutrino flavor transitions over a short baseline

A class of extensions of the Standard Model allows Lorentz and CPT violations, which can be identified by the observation of sidereal modulations in the neutrino interaction rate. A search for such modulations was performed using the T2K on-axis near detector. Two complementary methods were used in this study, both of which resulted in no evidence of a signal. Limits on associated Lorentz and CPT-violating terms from the Standard Model extension have been derived by taking into account their correlations in this model for the first time. These results imply such symmetry violations are suppressed by a factor of more than 10 20 at the GeV scale

Alignment of the CMS silicon tracker during commissioning with cosmic rays

This is the Pre-print version of the Article. The official published version of the Paper can be accessed from the link below - Copyright @ 2010 IOPThe CMS silicon tracker, consisting of 1440 silicon pixel and 15 148 silicon strip detector modules, has been aligned using more than three million cosmic ray charged particles, with additional information from optical surveys. The positions of the modules were determined with respect to cosmic ray trajectories to an average precision of 3–4 microns RMS in the barrel and 3–14 microns RMS in the endcap in the most sensitive coordinate. The results have been validated by several studies, including laser beam cross-checks, track fit self-consistency, track residuals in overlapping module regions, and track parameter resolution, and are compared with predictions obtained from simulation. Correlated systematic effects have been investigated. The track parameter resolutions obtained with this alignment are close to the design performance.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)