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

Courtship Initiation Is Stimulated by Acoustic Signals in Drosophila melanogaster

Finding a mating partner is a critical task for many organisms. It is in the interest of males to employ multiple sensory modalities to search for females. In Drosophila melanogaster, vision is thought to be the most important courtship stimulating cue at long distance, while chemosensory cues are used at relatively short distance. In this report, we show that when visual cues are not available, sounds produced by the female allow the male to detect her presence in a large arena. When the target female was artificially immobilized, the male spent a prolonged time searching before starting courtship. This delay in courtship initiation was completely rescued by playing either white noise or recorded fly movement sounds to the male, indicating that the acoustic and/or seismic stimulus produced by movement stimulates courtship initiation, most likely by increasing the general arousal state of the male. Mutant males expressing tetanus toxin (TNT) under the control of Gr68a-GAL4 had a defect in finding active females and a delay in courtship initiation in a large arena, but not in a small arena. Gr68a-GAL4 was found to be expressed pleiotropically not only in putative gustatory pheromone receptor neurons but also in mechanosensory neurons, suggesting that Gr68a-positive mechanosensory neurons, not gustatory neurons, provide motion detection necessary for courtship initiation. TNT/Gr68a males were capable of discriminating the copulation status and age of target females in courtship conditioning, indicating that female discrimination and formation of olfactory courtship memory are independent of the Gr68a-expressing neurons that subserve gustation and mechanosensation. This study suggests for the first time that mechanical signals generated by a female fly have a prominent effect on males' courtship in the dark and leads the way to studying how multimodal sensory information and arousal are integrated in behavioral decision making

Sensory Integration Regulating Male Courtship Behavior in Drosophila

The courtship behavior of Drosophila melanogaster serves as an excellent model system to study how complex innate behaviors are controlled by the nervous system. To understand how the underlying neural network controls this behavior, it is not sufficient to unravel its architecture, but also crucial to decipher its logic. By systematic analysis of how variations in sensory inputs alter the courtship behavior of a naïve male in the single-choice courtship paradigm, we derive a model describing the logic of the network that integrates the various sensory stimuli and elicits this complex innate behavior. This approach and the model derived from it distinguish (i) between initiation and maintenance of courtship, (ii) between courtship in daylight and in the dark, where the male uses a scanning strategy to retrieve the decamping female, and (iii) between courtship towards receptive virgin females and mature males. The last distinction demonstrates that sexual orientation of the courting male, in the absence of discriminatory visual cues, depends on the integration of gustatory and behavioral feedback inputs, but not on olfactory signals from the courted animal. The model will complement studies on the connectivity and intrinsic properties of the neurons forming the circuitry that regulates male courtship behavior

Populations of a Susceptible Amphibian Species Can Grow despite the Presence of a Pathogenic Chytrid Fungus

Disease can be an important driver of host population dynamics and epizootics can cause severe host population declines. Batrachochytrium dendrobatidis (Bd), the pathogen causing amphibian chytridiomycosis, may occur epizootically or enzootically and can harm amphibian populations in many ways. While effects of Bd epizootics are well documented, the effects of enzootic Bd have rarely been described. We used a state-space model that accounts for observation error to test whether population trends of a species highly susceptible to Bd, the midwife toad Alytes obstetricans, are negatively affected by the enzootic presence of the pathogen. Unexpectedly, Bd had no negative effect on population growth rates from 2002–2008. This suggests that negative effects of disease on individuals do not necessarily translate into negative effects at the population level. Populations of amphibian species that are susceptible to the emerging disease chytridiomycosis can persist despite the enzootic presence of the pathogen under current environmental conditions

Convective self-aggregation in numerical simulations: a review

Organized convection in the Tropics occurs across a range of spatial and temporal scales and strongly influences cloud cover and humidity. One mode of organization found is “self-aggregation”, in which moist convection spontaneously organizes into one or several isolated clusters despite spatially homogeneous boundary conditions and forcing. Self-aggregation is driven by interactions between clouds, moisture, radiation, surface fluxes, and circulation, and occurs in a wide variety of idealized simulations of radiative-convective equilibrium. Here we provide a review of convective self-aggregation in numerical simulations, including its character, causes, and effects. We describe the evolution of self-aggregation including its time and length scales and the physical mechanisms leading to its triggering and maintenance, and we also discuss possible links to climate and climate change

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

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

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

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 R-parity-violating supersymmetry in events with four or more leptons in sqrt(s) =7 TeV pp collisions with the ATLAS detector

A search for new phenomena in final states with four or more leptons (electrons or muons) is presented. The analysis is based on 4.7 fb−1 of $\sqrt{s}=7\;\mathrm{TeV}$ proton-proton collisions delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with Standard Model expectations in two signal regions: one that requires moderate values of missing transverse momentum and another that requires large effective mass. The results are interpreted in a simplified model of R-parity-violating supersymmetry in which a 95% CL exclusion region is set for charged wino masses up to 540 GeV. In an R-parity-violating MSUGRA/CMSSM model, values of m 1/2 up to 820 GeV are excluded for 10 < tan β < 40