Analytic results and weighted Monte Carlo simulations for CDO pricing

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of (typically about 100) assets, Monte Carlo simulations are often the only feasible approach to pricing. Variance reduction techniques are therefore of great importance. This paper presents an exact analytic solution using Laplace-transform and MC importance sampling results for an easily tractable intensity-based model of the CDO, namely the compound Poissonian. Furthermore analytic formulae are derived for the reweighting efficiency. The computational gain is appealing, nevertheless, even in this basic scheme, a phase transition can be found, rendering some parameter regimes out of reach. A model-independent transform approach is also presented for CDO pricing.Comment: 12 pages, 9 figure

A Hedged Monte Carlo Approach to Real Option Pricing

In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or subjective) measure in a possibly incomplete market. Our approach is suitable also to incorporating subjective views from management or market experts and to stochastic investment costs. It is based on the Hedged Monte Carlo strategy proposed by Potters et al (2001) where options are priced simultaneously with the determination of the corresponding hedging. The approach is particularly well-suited to the evaluation of commodity related projects whereby the availability of pricing formulae is very rare, the scenario simulations are usually available only in the historical measure, and the cash flows can be highly nonlinear functions of the prices.Comment: 25 pages, 14 figure

A model for a large investor trading at market indifference prices. I: single-period case

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.Comment: Shorten from 69 to 30 pages due to referees' requests; a part of the previous version has been moved to "The stochastic field of aggregate utilities and its saddle conjugate", arXiv:1310.728

Search for the doubly heavy baryon Ξbc+\it{\Xi}_{bc}^{+} decaying to J/ψΞc+J/\it{\psi} \it{\Xi}_{c}^{+}

A first search for the $\it{\Xi}_{bc}^{+}\to J/\it{\psi}\it{\Xi}_{c}^{+}$ decay is performed by the LHCb experiment with a data sample of proton-proton collisions, corresponding to an integrated luminosity of $9\,\mathrm{fb}^{-1}$ recorded at centre-of-mass energies of 7, 8, and $13\mathrm{\,Te\kern -0.1em V}$. Two peaking structures are seen with a local (global) significance of $4.3\,(2.8)$ and $4.1\,(2.4)$ standard deviations at masses of $6571\,\mathrm{Me\kern -0.1em V\!/}c^2$ and $6694\,\mathrm{Me\kern -0.1em V\!/}c^2$, respectively. Upper limits are set on the $\it{\Xi}_{bc}^{+}$ baryon production cross-section times the branching fraction relative to that of the $B_{c}^{+}\to J/\it{\psi} D_{s}^{+}$ decay at centre-of-mass energies of 8 and $13\mathrm{\,Te\kern -0.1em V}$, in the $\it{\Xi}_{bc}^{+}$ and in the $B_{c}^{+}$ rapidity and transverse-momentum ranges from 2.0 to 4.5 and 0 to $20\,\mathrm{Ge\kern -0.1em V\!/}c$, respectively. Upper limits are presented as a function of the $\it{\Xi}_{bc}^{+}$ mass and lifetime.Comment: All figures and tables, along with machine-readable versions and any supplementary material and additional information, are available at https://cern.ch/lhcbproject/Publications/p/LHCb-PAPER-2022-005.html (LHCb public pages

Study of the lineshape of the chi(c1) (3872) state

A study of the lineshape of the chi(c1) (3872) state is made using a data sample corresponding to an integrated luminosity of 3 fb(-1) collected in pp collisions at center-of-mass energies of 7 and 8 TeV with the LHCb detector. Candidate chi(c1)(3872) and psi(2S) mesons from b-hadron decays are selected in the J/psi pi(+)pi(-) decay mode. Describing the lineshape with a Breit-Wigner function, the mass splitting between the chi(c1 )(3872) and psi(2S) states, Delta m, and the width of the chi(c1 )(3872) state, Gamma(Bw), are determined to be (Delta m=185.598 +/- 0.067 +/- 0.068 Mev,)(Gamma BW=1.39 +/- 0.24 +/- 0.10 Mev,) where the first uncertainty is statistical and the second systematic. Using a Flatte-inspired model, the mode and full width at half maximum of the lineshape are determined to be (mode=3871.69+0.00+0.05 MeV.)(FWHM=0.22-0.04+0.13+0.07+0.11-0.06-0.13 MeV, ) An investigation of the analytic structure of the Flatte amplitude reveals a pole structure, which is compatible with a quasibound D-0(D) over bar*(0) state but a quasivirtual state is still allowed at the level of 2 standard deviations

Measurement of the CKM angle γγ in B±→DK±B^\pm\to D K^\pm and B±→Dπ±B^\pm \to D π^\pm decays with D→KS0h+h−D \to K_\mathrm S^0 h^+ h^-

A measurement of $CP$-violating observables is performed using the decays $B^\pm\to D K^\pm$ and $B^\pm\to D \pi^\pm$, where the $D$ meson is reconstructed in one of the self-conjugate three-body final states $K_{\mathrm S}\pi^+\pi^-$ and $K_{\mathrm S}K^+K^-$ (commonly denoted $K_{\mathrm S} h^+h^-$). The decays are analysed in bins of the $D$-decay phase space, leading to a measurement that is independent of the modelling of the $D$-decay amplitude. The observables are interpreted in terms of the CKM angle $\gamma$. Using a data sample corresponding to an integrated luminosity of $9\,\text{fb}^{-1}$ collected in proton-proton collisions at centre-of-mass energies of $7$, $8$, and $13\,\text{TeV}$ with the LHCb experiment, $\gamma$ is measured to be $\left(68.7^{+5.2}_{-5.1}\right)^\circ$. The hadronic parameters $r_B^{DK}$, $r_B^{D\pi}$, $\delta_B^{DK}$, and $\delta_B^{D\pi}$, which are the ratios and strong-phase differences of the suppressed and favoured $B^\pm$ decays, are also reported

Measurement of CP asymmetries and branching fraction ratios of B− decays to two charm mesons

The $CP$ asymmetries of seven $B^-$ decays to two charm mesons are measured using data corresponding to an integrated luminosity of $9\text{fb}^{-1}$ of proton-proton collisions collected by the LHCb experiment. Decays involving a $D^{*0}$ or $D^{*-}_s$ meson are analysed by reconstructing only the $D^0$ or $D^-_s$ decay products. This paper presents the first measurement of $\mathcal{A}^{CP}(B^- \rightarrow D^{*-}_s D^0)$ and $\mathcal{A}^{CP}(B^- \rightarrow D^{-}_s D^{*0})$, and the most precise measurement of the other five $CP$ asymmetries. There is no evidence of $CP$ violation in any of the analysed decays. Additionally, two ratios between branching fractions of selected decays are measured.The CP asymmetries of seven B$^{−}$ decays to two charm mesons are measured using data corresponding to an integrated luminosity of 9 fb$^{−1}$ of proton-proton collisions collected by the LHCb experiment. Decays involving a D$^{*0}$ or ${D}_s^{\ast -}$ meson are analysed by reconstructing only the D$^{0}$ or ${D}_s^{-}$ decay products. This paper presents the first measurement of $\mathcal{A} ^{CP}$(B$^{−}$→${D}_s^{\ast -}$D$^{0}$) and $\mathcal{A} ^{CP}$(B$^{−}$→${D}_s^{-}$D$^{∗0}$), and the most precise measurement of the other five CP asymmetries. There is no evidence of CP violation in any of the analysed decays. Additionally, two ratios between branching fractions of selected decays are measured.[graphic not available: see fulltext]The $CP$ asymmetries of seven $B^-$ decays to two charm mesons are measured using data corresponding to an integrated luminosity of $9\text{ fb}^{-1}$ of proton-proton collisions collected by the LHCb experiment. Decays involving a $D^{*0}$ or $D^{*-}_s$ meson are analysed by reconstructing only the $D^0$ or $D^-_s$ decay products. This paper presents the first measurement of $\mathcal{A}^{CP}(B^- \rightarrow D^{*-}_s D^0)$ and $\mathcal{A}^{CP}(B^- \rightarrow D^{-}_s D^{*0})$, and the most precise measurement of the other five $CP$ asymmetries. There is no evidence of $CP$ violation in any of the analysed decays. Additionally, two ratios between branching fractions of selected decays are measured