On the Determinants of the Value of Call Options on Default-Free Bonds

Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements.

Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages

A model is developed and utilized in this paper to value a life of loan interest rate cap on an ARM that reprices monthly. The value of the cap is seen to depend importantly on both the slope of the term structure and the variance of the one month rate. However, the cap value is not sensitive to the source of the slope of the term structure -- what precise combination of interest rate expectations and risk aversion determined the slope. This insensitivity is fortunate because of the great difficulty of knowing at any point in time why the term structure is what it is. Given the variation in the slope of the term structure and the variance of the one month rate that occurred over the 1979-84 period, the addition to the coupon rate on a one-month ARM that lenders should have charged for a 5 percent life of loan cap has ranged from 5 to 40 basis points.

Measurement of associated production of a W boson and a charm quark in proton–proton collisions at √=13TeV

This work is licensed under a Creative Commons Attribution 4.0 International License.Measurements are presented of associated production of a W boson and a charm quark (W+c) in proton–proton collisions at a center-of-mass energy of 13TeV. The data correspond to an integrated luminosity of 35.7fb−1 collected by the CMS experiment at the CERN LHC. The W bosons are identified by their decay into a muon and a neutrino. The charm quarks are tagged via the full reconstruction of D∗(2010)± mesons that decay via D∗(2010)±→D0+±→K∓+±+±. A cross section is measured in the fiducial region defined by the muon transverse momentum T>26GeV, muon pseudorapidity ||5GeV. The inclusive cross section for this kinematic range is (W+c)=1026±31(stat)+76−72(syst) pb. The cross section is also measured differentially as a function of the pseudorapidity of the muon from the W boson decay. These measurements are compared with theoretical predictions and are used to probe the strange quark content of the proton

Observation of Single Top Quark Production in Association with a Z Boson in Proton-Proton Collisions at √s = 13 TeV

This work is licensed under a Creative Commons Attribution 4.0 International License.The observation of single top quark production in association with a Z boson and a quark (tZq) is reported. Events from proton-proton collisions at a center-of-mass energy of 13 TeV containing three charged leptons (either electrons or muons) and at least two jets are analyzed. The data were collected with the CMS detector in 2016 and 2017 and correspond to an integrated luminosity of 77.4fb−1. The increased integrated luminosity, a multivariate lepton identification, and a redesigned analysis strategy improve significantly the sensitivity of the analysis compared to previous searches for tZq production. The tZq signal is observed with a significance well over 5 standard deviations. The measured tZq production cross section is σ(pp → tZq → tℓ + ℓ − q) = 111 ± 13 (stat) + 11 − 9 (syst) fb, for dilepton invariant masses above 30 GeV, in agreement with the standard model expectation

Search for single production of vector-like quarks decaying to a top quark and a W boson in proton–proton collisions at √=13TeV

This work is licensed under a Creative Commons Attribution 4.0 International License.A search is presented for the single production of vector-like quarks in proton–proton collisions at √=13TeV. The data, corresponding to an integrated luminosity of 35.9fb−1, were recorded with the CMS experiment at the LHC. The analysis focuses on the vector-like quark decay into a top quark and a W boson, with one muon or electron in the final state. The mass of the vector-like quark candidate is reconstructed from hadronic jets, the lepton, and the missing transverse momentum. Methods for the identification of b quarks and of highly Lorentz boosted hadronically decaying top quarks and W bosons are exploited in this search. No significant deviation from the standard model background expectation is observed. Exclusion limits at 95% confidence level are set on the product of the production cross section and branching fraction as a function of the vector-like quark mass, which range from 0.3 to 0.03pb for vector-like quark masses of 700 to 2000GeV. Mass exclusion limits up to 1660GeV are obtained, depending on the vector-like quark type, coupling, and decay width. These represent the most stringent exclusion limits for the single production of vector-like quarks in this channel

Measurement of exclusive Υ photoproduction from protons in pPb collisions at NN‾‾‾√=5.02TeV

This work is licensed under a Creative Commons Attribution 4.0 International License.The exclusive photoproduction of Υ(nS) meson states from protons, p→Υ(nS)p (with n=1,2,3), is studied in ultraperipheral pPb collisions at a centre-of-mass energy per nucleon pair of NN‾‾‾√=5.02TeV. The measurement is performed using the Υ(nS)→+− decay mode, with data collected by the CMS experiment corresponding to an integrated luminosity of 32.6nb−1. Differential cross sections as functions of the Υ(nS) transverse momentum squared 2T, and rapidity y, are presented. The Υ(1S) photoproduction cross section is extracted in the rapidity range ||<2.2, which corresponds to photon–proton centre-of-mass energies in the range 91<p<826GeV. The data are compared to theoretical predictions based on perturbative quantum chromodynamics and to previous measurements

Search for pair-produced three-jet resonances in proton-proton collisions at √s = 13 TeV

This work is licensed under a Creative Commons Attribution 4.0 International License.A search has been performed for pair-produced resonances decaying into three jets. The proton-proton collision data used for this analysis were collected with the CMS detector in 2016 at a center-of-mass energy of 13 TeV and correspond to an integrated luminosity of 35.9 fb−1. The mass range from 200 to 2000 GeV is explored in four separate mass regions. The observations show agreement with standard model expectations. The results are interpreted within the framework of R-parity violating SUSY, where pair-produced gluinos decay to a six quark final state. Gluino masses below 1500 GeV are excluded at 95% confidence level. An analysis based on data with multijet events reconstructed at the trigger level extends the reach to masses as low as 200 GeV. Improved analysis techniques have led to enhanced sensitivity, allowing the most stringent limits to date to be set on gluino pair production

Search for the Higgs Boson Decaying to Two Muons in Proton-Proton Collisions at √s = 13 TeV

This work is licensed under a Creative Commons Attribution 4.0 International License.A search for the Higgs boson decaying to two oppositely charged muons is presented using data recorded by the CMS experiment at the CERN LHC in 2016 at a center-of-mass energy √s = 13 TeV, corresponding to an integrated luminosity of 35.9 fb−1. Data are found to be compatible with the predicted background. For a Higgs boson with a mass of 125.09 GeV, the 95% confidence level observed (background-only expected) upper limit on the production cross section times the branching fraction to a pair of muons is found to be 3.0 (2.5) times the standard model expectation. In combination with data recorded at center-of-mass energies √s = 7 and 8 TeV, the background-only expected upper limit improves to 2.2 times the standard model value with a standard model expected significance of 1.0 standard deviation. The corresponding observed upper limit is 2.9 with an observed significance of 0.9 standard deviation. This corresponds to an observed upper limit on the standard model Higgs boson branching fraction to muons of 6.4 × 10^−4 and to an observed signal strength of 1.0 ± 1.0 (stat) ± 0.1 (syst)