Rare Radiative B -> \tau^+ \tau^- \gamma decay in the two Higgs doublet Model

The radiative B ->\tau^+ \tau^- \gamma decay is investigated in the framework of the two Higgs doublet model . The dependence of the differential branching ratio on the photon energy and the branching ratio on the two Higgs doublet model parameters, m_{H^\pm} and \tan \beta, are studied. It is shown that there is an enhancement in the predictions of the two Higgs doublet model compared to the Standard model case. We also observe that contributions of neutral Higgs bosons to the decay are sizable when \tan\beta is large.Comment: 16 pages, 4 figure

Disturbing Extremal Behavior of Spot Rate Dynamics

This paper presents a study of extreme interest rate movements in the U.S. Federal Funds market over almost a half century of daily observations from the mid 1950s through the end of 2000. We analyze the fluctuations of the maximal and minimal changes in short term interest rates and test the significance of time-varying paths followed by the mean and volatility of extremes. We formally determine the relevance of introducing trend and serial correlation in the mean, and of incorporating the level and GARCH effects in the volatility of extreme changes in the federal funds rate. The empirical findings indicate the existence of volatility clustering in the standard deviation of extremes, and a significantly positive relationship between the level and the volatility of extremes. The results point to the presence of an autoregressive process in the means of both local maxima and local minima values. The paper proposes a conditional extreme value approach to calculating value at risk by specifying the location and scale parameters of the generalized Pareto distribution as a function of past information. Based on the estimated VaR thresholds, the statistical theory of extremes is found to provide more accurate estimates of the rate of occurrence and the size of extreme observations.extreme value theory, volatility, interest rates, value at risk

Cyclicality in Catastrophic and Operational Risk Measurements

Using equity returns for financial institutions we estimate both catastrophic and operational risk measures over the period 1973-2003. We find evidence of cyclical components in both the catastrophic and operational risk measures obtained from the Generalized Pareto Distribution and the Skewed Generalized Error Distribution. Our new, comprehensive approach to measuring operational risk shows that approximately 18% of financial institutions’ returns represent compensation for operational risk. However, depository institutions are exposed to operational risk levels that average 39% of the overall equity risk premium. Moreover, operational risk events are more likely to be the cause of large unexpected catastrophic losses, although when they occur, the losses are smaller than those resulting from a combination of market risk, credit risk or other risk events

QCD Sum Rules study of meson-baryon sigma terms

The pion-baryon sigma terms and the strange-quark condensates of the octet and the decuplet baryons are calculated by employing the method of quantum chromodynamics (QCD) sum rules. We evaluate the vacuum-to-vacuum transition matrix elements of two baryon interpolating fields in an external isoscalar-scalar field and use a Monte Carlo-based approach to systematically analyze the sum rules and the uncertainties in the results. We extract the ratios of the sigma terms, which have rather high accuracy and minimal dependence on QCD parameters. We discuss the sources of uncertainties and comment on possible strangeness content of the nucleon and the Delta.Comment: 17 pages, 10 figures, to be published in Phys. Rev.

Investigating ICAPM with Dynamic Conditional Correlations

This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle (2002) is used to estimate a stock’s conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock’s expected return. The risk-aversion coefficient, restricted to be the same across stocks in panel regression, is estimated to be between two and four and highly significant. This result is robust across different market portfolios, different sample periods, alternative specifications of the conditional mean and covariance processes, and including a wide variety of state variables that proxy for the intertemporal hedging demand component of the ICAPM. Risk premium induced by the conditional covariation of individual stocks with the market portfolio remains economically and statistically significant after controlling for risk premiums induced by conditional covariation with macroeconomic variables (federal funds rate, default spread, and term spread), financial factors (size, book-to-market, and momentum), and volatility measures (implied, GARCH, and range volatility)

Sneutrino Dark Matter: Symmetry Protection and Cosmic Ray Anomalies

We present an R-parity conserving model of sneutrino dark matter within a Higgs-philic U(1)' extension of the minimal supersymmetric standard model. In this theory, the mu parameter and light Dirac neutrino masses are generated naturally upon the breaking of the U(1)' gauge symmetry. The leptonic and hadronic decays of sneutrinos in this model, taken to be the lightest and next-to-lightest superpartners, allow for a natural fit to the recent results reported by the PAMELA experiment.Comment: Revised to match the published version; 11 pages (2 column format), 1 table, 6 figures, to appear in PR

Quantal description of nucleon exchange in stochastic mean-field approach

Nucleon exchange mechanism is investigated in central collisions of symmetric heavy-ions in the basis of the stochastic mean-field approach. Quantal diffusion coefficients for nucleon exchange are calculated by including non-Markovian effects and shell structure. Variances of fragment mass distributions are calculated in central collisions of ${}^{40}$Ca + ${}^{40}$Ca, ${}^{48}$Ca + ${}^{48}$Ca and ${}^{56}$Ni + ${}^{56}$Ni systems

Liquid Film Falling on Horizontal Circular Cylinders

The objective of this study is to investigate experimentally and numerically the behaviour of liquid film flow over horizontal cylinders. Numerical simulations are performed using a CFD code (FLUENT) for 2D configurations with one, two and three cylinders. The numerical results have been compared with the present experimental results as well as those from the literature. The flow modes and film thickness are reported for the Reynolds numbers range of 400 and 3200. The effect of cylinder separation on the film flow is investigated

Implied volatility spreads and expected market returns

This article investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is driven by the information flow from option markets to stock markets. The documented relation is significantly stronger for the periods during which (i) S&P 500 constituent firms announce their earnings; (ii) cash flow and discount rate news are large in magnitude; and (iii) consumer sentiment index takes extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance risk premium, and macroeconomic variables. Moreover, a trading strategy based on the intertemporal relation with volatility spreads has higher portfolio returns compared to a passive strategy of investing in the S&P 500 index, after transaction costs are taken into account