The Rebate Value Process with Some Applications

In the pricing of credit derivatives default is modelled as a stopping time and prices are typically determined by separation of cash-flows before and at default. In a general risk-neutral valuation setting, this technique suggests the decomposition of an asset which holds even if the asset is not credit-sensitive. The rebate value process is introduced and related to the price of an asset before and after default. The financial interpretation of this process is different depending on the type of asset decomposed. An interpretation of recovery is illustrated by pricing several standard credit-sensitive assets including a risky coupon bond and a credit default swap (CDS). An interpretation of insurance is illustrated by pricing the complements of the credit ``building blocks'' with respect to the stopping time. Several applications of these complements are presented including a risky interest rate swap and a full-recovery CDS

Alternative model for the administration and analysis of research-based assessments

Research-based assessments represent a valuable tool for both instructors and researchers interested in improving undergraduate physics education. However, the historical model for disseminating and propagating conceptual and attitudinal assessments developed by the physics education research (PER) community has not resulted in widespread adoption of these assessments within the broader community of physics instructors. Within this historical model, assessment developers create high quality, validated assessments, make them available for a wide range of instructors to use, and provide minimal (if any) support to assist with administration or analysis of the results. Here, we present and discuss an alternative model for assessment dissemination, which is characterized by centralized data collection and analysis. This model provides a greater degree of support for both researchers and instructors in order to more explicitly support adoption of research-based assessments. Specifically, we describe our experiences developing a centralized, automated system for an attitudinal assessment we previously created to examine students' epistemologies and expectations about experimental physics. This system provides a proof-of-concept that we use to discuss the advantages associated with centralized administration and data collection for research-based assessments in PER. We also discuss the challenges that we encountered while developing, maintaining, and automating this system. Ultimately, we argue that centralized administration and data collection for standardized assessments is a viable and potentially advantageous alternative to the default model characterized by decentralized administration and analysis. Moreover, with the help of online administration and automation, this model can support the long-term sustainability of centralized assessment systems.Comment: 7 pages, 1 figure, accepted in Phys. Rev. PE

Exome sequencing of Finnish isolates enhances rare-variant association power.

Exome-sequencing studies have generally been underpowered to identify deleterious alleles with a large effect on complex traits as such alleles are mostly rare. Because the population of northern and eastern Finland has expanded considerably and in isolation following a series of bottlenecks, individuals of these populations have numerous deleterious alleles at a relatively high frequency. Here, using exome sequencing of nearly 20,000 individuals from these regions, we investigate the role of rare coding variants in clinically relevant quantitative cardiometabolic traits. Exome-wide association studies for 64 quantitative traits identified 26 newly associated deleterious alleles. Of these 26 alleles, 19 are either unique to or more than 20 times more frequent in Finnish individuals than in other Europeans and show geographical clustering comparable to Mendelian disease mutations that are characteristic of the Finnish population. We estimate that sequencing studies of populations without this unique history would require hundreds of thousands to millions of participants to achieve comparable association power

Massive star formation and feedback in W49A: The source of our Galaxy's most luminous water maser outflow

We present high spatial resolution mid-IR images of the ring of UCHII regions in W49A obtained at Gemini North, allowing us to identify the driving source of its powerful H2O maser outflow. These data also confirm our previous report that several radio sources in the ring are undetected in the mid-IR because they are embedded deep inside the cloud core. We locate the source of the water maser outflow at the position of the compact mid-IR peak of source G (source G:IRS1). This IR source is not coincident with any identified compact radio continuum source, but is coincident with a hot molecular core, so we propose that G:IRS1 is a hot core driving an outflow analogous to the wide-angle bipolar outflow in OMC-1. G:IRS1 is at the origin of a larger bipolar cavity and CO outflow. The water maser outflow is orthogonal to the bipolar CO cavity, so the masers probably reside near its waist in the cavity walls. Models of the IR emission require a massive protostar of 45Msun, 3e5Lsun, and an effective envelope accretion rate of 1e-3Msun/yr. Feedback from the central star could potentially drive the H2O maser outflow, but it has insufficient radiative momentum to have driven the large-scale CO outflow, requiring that this massive star had an active accretion disk over the past 10^4 yr. Combined with the spatialy resolved morphology in IR images, G:IRS1 in W49 provides compelling evidence for a massive protostar that formed by accreting from a disk, accompanied by a bipolar outflow.Comment: 14 pages, MNRAS accepte

Measurement of Angular Distributions and R= sigma_L/sigma_T in Diffractive Electroproduction of rho^0 Mesons

Production and decay angular distributions were extracted from measurements of exclusive electroproduction of the rho^0(770) meson over a range in the virtual photon negative four-momentum squared 0.5< Q^2 <4 GeV^2 and the photon-nucleon invariant mass range 3.8< W <6.5 GeV. The experiment was performed with the HERMES spectrometer, using a longitudinally polarized positron beam and a ^3He gas target internal to the HERA e^{+-} storage ring. The event sample combines rho^0 mesons produced incoherently off individual nucleons and coherently off the nucleus as a whole. The distributions in one production angle and two angles describing the rho^0 -> pi+ pi- decay yielded measurements of eight elements of the spin-density matrix, including one that had not been measured before. The results are consistent with the dominance of helicity-conserving amplitudes and natural parity exchange. The improved precision achieved at 47 GeV, reveals evidence for an energy dependence in the ratio R of the longitudinal to transverse cross sections at constant Q^2.Comment: 15 pages, 15 embedded figures, LaTeX for SVJour(epj) document class Revision: Fig. 15 corrected, recent data added to Figs. 10,12,14,15; minor changes to tex

A Study of the Quasi-elastic (e,e'p) Reaction on 12^{12}C, 56^{56}Fe and 97^{97}Au

We report the results from a systematic study of the quasi-elastic (e,e'p) reaction on $^{12}$C, $^{56}$Fe and $^{197}$Au performed at Jefferson Lab. We have measured nuclear transparency and extracted spectral functions (corrected for radiation) over a Q$^2$ range of 0.64 - 3.25 (GeV/c)$^2$ for all three nuclei. In addition we have extracted separated longitudinal and transverse spectral functions at Q$^2$ of 0.64 and 1.8 (GeV/c)$^2$ for these three nuclei (except for $^{197}$Au at the higher Q$^2$). The spectral functions are compared to a number of theoretical calculations. The measured spectral functions differ in detail but not in overall shape from most of the theoretical models. In all three targets the measured spectral functions show considerable excess transverse strength at Q$^2$ = 0.64 (GeV/c)$^2$, which is much reduced at 1.8 (GeV/c)$^2$.Comment: For JLab E91013 Collaboration, 19 pages, 20 figures, 3 table

Observation of a Coherence Length Effect in Exclusive Rho^0 Electroproduction

Exclusive incoherent electroproduction of the rho^0(770) meson from 1H, 2H, 3He, and 14N targets has been studied by the HERMES experiment at squared four-momentum transfer Q**2>0.4 GeV**2 and positron energy loss nu from 9 to 20 GeV. The ratio of the 14N to 1H cross sections per nucleon, known as the nuclear transparency, was found to decrease with increasing coherence length of quark-antiquark fluctuations of the virtual photon. The data provide clear evidence of the interaction of the quark- antiquark fluctuations with the nuclear medium.Comment: RevTeX, 5 pages, 3 figure

Determination of the Deep Inelastic Contribution to the Generalised Gerasimov-Drell-Hearn Integral for the Proton and Neutron

The virtual photon absorption cross section differences [sigma_1/2-sigma_3/2] for the proton and neutron have been determined from measurements of polarised cross section asymmetries in deep inelastic scattering of 27.5 GeV longitudinally polarised positrons from polarised 1H and 3He internal gas targets. The data were collected in the region above the nucleon resonances in the kinematic range nu < 23.5 GeV and 0.8 GeV**2 < Q**2 < 12 GeV**2. For the proton the contribution to the generalised Gerasimov-Drell-Hearn integral was found to be substantial and must be included for an accurate determination of the full integral. Furthermore the data are consistent with a QCD next-to-leading order fit based on previous deep inelastic scattering data. Therefore higher twist effects do not appear significant.Comment: 6 pages, 3 figures, 1 table, revte

Measurement of the Neutron Spin Structure Function g1ng_1^n with a Polarized ^3He Target

Results are reported from the HERMES experiment at HERA on a measurement of the neutron spin structure function $g_1^n(x,Q^2)$ in deep inelastic scattering using 27.5 GeV longitudinally polarized positrons incident on a polarized $^3$He internal gas target. The data cover the kinematic range $0.023<x<0.6$ and $1 (GeV/c)^2 < Q^2 <15 (GeV/c)^2$. The integral $\int_{0.023}^{0.6} g_1^n(x) dx$ evaluated at a fixed $Q^2$ of $2.5 (GeV/c)^2$ is $-0.034\pm 0.013(stat.)\pm 0.005(syst.)$. Assuming Regge behavior at low $x$, the first moment $\Gamma_1^n=\int_0^1 g_1^n(x) dx$ is $-0.037\pm 0.013(stat.)\pm 0.005(syst.)\pm 0.006(extrapol.)$.Comment: 4 pages TEX, text available at http://www.krl.caltech.edu/preprints/OAP.htm

Flavor Decomposition of the Polarized Quark Distributions in the Nucleon from Inclusive and Semi-inclusive Deep-inelastic Scattering

Spin asymmetries of semi-inclusive cross sections for the production of positively and negatively charged hadrons have been measured in deep-inelastic scattering of polarized positrons on polarized hydrogen and 3He targets, in the kinematic range 0.023<x<0.6 and 1 GeV^2<Q^2<10 GeV^2. Polarized quark distributions are extracted as a function of x for up $(u+u_bar) and down (d+d_bar) flavors. The up quark polarization is positive and the down quark polarization is negative in the measured range. The polarization of the sea is compatible with zero. The first moments of the polarized quark distributions are presented. The isospin non-singlet combination Delta_q_3 is consistent with the prediction based on the Bjorken sum rule. The moments of the polarized quark distributions are compared to predictions based on SU(3)_f flavor symmetry and to a prediction from lattice QCD.Comment: 14 pages, 6 figures (eps format), 10 tables in Latex New version contains tables of asymmetries and correlation matri