171 research outputs found

    A Hedged Monte Carlo Approach to Real Option Pricing

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    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

    Search for composite and exotic fermions at LEP 2

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    A search for unstable heavy fermions with the DELPHI detector at LEP is reported. Sequential and non-canonical leptons, as well as excited leptons and quarks, are considered. The data analysed correspond to an integrated luminosity of about 48 pb^{-1} at an e^+e^- centre-of-mass energy of 183 GeV and about 20 pb^{-1} equally shared between the centre-of-mass energies of 172 GeV and 161 GeV. The search for pair-produced new leptons establishes 95% confidence level mass limits in the region between 70 GeV/c^2 and 90 GeV/c^2, depending on the channel. The search for singly produced excited leptons and quarks establishes upper limits on the ratio of the coupling of the excited fermio

    Search for lightest neutralino and stau pair production in light gravitino scenarios with stau NLSP

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    Promptly decaying lightest neutralinos and long-lived staus are searched for in the context of light gravitino scenarios. It is assumed that the stau is the next to lightest supersymmetric particle (NLSP) and that the lightest neutralino is the next to NLSP (NNLSP). Data collected with the Delphi detector at centre-of-mass energies from 161 to 183 \GeV are analysed. No evidence of the production of these particles is found. Hence, lower mass limits for both kinds of particles are set at 95% C.L.. The mass of gaugino-like neutralinos is found to be greater than 71.5 GeV/c^2. In the search for long-lived stau, masses less than 70.0 to 77.5 \GeVcc are excluded for gravitino masses from 10 to 150 \eVcc . Combining this search with the searches for stable heavy leptons and Minimal Supersymmetric Standard Model staus a lower limit of 68.5 \GeVcc may be set for the stau mas

    Updated precision measurement of the average lifetime of B hadrons

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    The measurement of the average lifetime of B hadrons using inclusively reconstructed secondary vertices has been updated using both an improved processing of previous data and additional statistics from new data. This has reduced the statistical and systematic uncertainties and gives \tau_{\mathrm{B}} = 1.582 \pm 0.011\ \mathrm{(stat.)} \pm 0.027\ \mathrm{(syst.)}\ \mathrm{ps.} Combining this result with the previous result based on charged particle impact parameter distributions yields \tau_{\mathrm{B}} = 1.575 \pm 0.010\ \mathrm{(stat.)} \pm 0.026\ \mathrm{(syst.)}\ \mathrm{ps.

    Measurement of the View the tt production cross-section using eÎŒ events with b-tagged jets in pp collisions at √s = 13 TeV with the ATLAS detector

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    This paper describes a measurement of the inclusive top quark pair production cross-section (σttÂŻ) with a data sample of 3.2 fb−1 of proton–proton collisions at a centre-of-mass energy of √s = 13 TeV, collected in 2015 by the ATLAS detector at the LHC. This measurement uses events with an opposite-charge electron–muon pair in the final state. Jets containing b-quarks are tagged using an algorithm based on track impact parameters and reconstructed secondary vertices. The numbers of events with exactly one and exactly two b-tagged jets are counted and used to determine simultaneously σttÂŻ and the efficiency to reconstruct and b-tag a jet from a top quark decay, thereby minimising the associated systematic uncertainties. The cross-section is measured to be: σttÂŻ = 818 ± 8 (stat) ± 27 (syst) ± 19 (lumi) ± 12 (beam) pb, where the four uncertainties arise from data statistics, experimental and theoretical systematic effects, the integrated luminosity and the LHC beam energy, giving a total relative uncertainty of 4.4%. The result is consistent with theoretical QCD calculations at next-to-next-to-leading order. A fiducial measurement corresponding to the experimental acceptance of the leptons is also presented

    Search for TeV-scale gravity signatures in high-mass final states with leptons and jets with the ATLAS detector at sqrt [ s ] = 13TeV

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    A search for physics beyond the Standard Model, in final states with at least one high transverse momentum charged lepton (electron or muon) and two additional high transverse momentum leptons or jets, is performed using 3.2 fb−1 of proton–proton collision data recorded by the ATLAS detector at the Large Hadron Collider in 2015 at √s = 13 TeV. The upper end of the distribution of the scalar sum of the transverse momenta of leptons and jets is sensitive to the production of high-mass objects. No excess of events beyond Standard Model predictions is observed. Exclusion limits are set for models of microscopic black holes with two to six extra dimensions

    Search for dark matter produced in association with a hadronically decaying vector boson in pp collisions at sqrt (s) = 13 TeV with the ATLAS detector

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    A search is presented for dark matter produced in association with a hadronically decaying W or Z boson using 3.2 fb−1 of pp collisions at View the MathML sources=13 TeV recorded by the ATLAS detector at the Large Hadron Collider. Events with a hadronic jet compatible with a W or Z boson and with large missing transverse momentum are analysed. The data are consistent with the Standard Model predictions and are interpreted in terms of both an effective field theory and a simplified model containing dark matter

    The performance of the jet trigger for the ATLAS detector during 2011 data taking

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    The performance of the jet trigger for the ATLAS detector at the LHC during the 2011 data taking period is described. During 2011 the LHC provided proton–proton collisions with a centre-of-mass energy of 7 TeV and heavy ion collisions with a 2.76 TeV per nucleon–nucleon collision energy. The ATLAS trigger is a three level system designed to reduce the rate of events from the 40 MHz nominal maximum bunch crossing rate to the approximate 400 Hz which can be written to offline storage. The ATLAS jet trigger is the primary means for the online selection of events containing jets. Events are accepted by the trigger if they contain one or more jets above some transverse energy threshold. During 2011 data taking the jet trigger was fully efficient for jets with transverse energy above 25 GeV for triggers seeded randomly at Level 1. For triggers which require a jet to be identified at each of the three trigger levels, full efficiency is reached for offline jets with transverse energy above 60 GeV. Jets reconstructed in the final trigger level and corresponding to offline jets with transverse energy greater than 60 GeV, are reconstructed with a resolution in transverse energy with respect to offline jets, of better than 4 % in the central region and better than 2.5 % in the forward direction

    Measurement of the cross section for isolated-photon plus jet production in pp collisions at √s=13 TeV using the ATLAS detector

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    The dynamics of isolated-photon production in association with a jet in proton–proton collisions at a centre-of-mass energy of 13 TeV are studied with the ATLAS detector at the LHC using a dataset with an integrated luminosity of 3.2 fb−1. Photons are required to have transverse energies above 125 GeV. Jets are identified using the anti- algorithm with radius parameter and required to have transverse momenta above 100 GeV. Measurements of isolated-photon plus jet cross sections are presented as functions of the leading-photon transverse energy, the leading-jet transverse momentum, the azimuthal angular separation between the photon and the jet, the photon–jet invariant mass and the scattering angle in the photon–jet centre-of-mass system. Tree-level plus parton-shower predictions from Sherpa and Pythia as well as next-to-leading-order QCD predictions from Jetphox and Sherpa are compared to the measurements

    Search for resonances in the mass distribution of jet pairs with one or two jets identified as b-jets in proton–proton collisions at √s=13TeV with the ATLAS detector

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    Searches for high-mass resonances in the dijet invariant mass spectrum with one or two jets identi-fied as b-jets are performed using an integrated luminosity of 3.2fb−1of proton–proton collisions with a centre-of-mass energy of √s=13TeVrecorded by the ATLAS detector at the Large Hadron Collider. Noevidence of anomalous phenomena is observed in the data, which are used to exclude, at 95%credibility level, excited b∗quarks with masses from 1.1TeVto 2.1TeVand leptophobic Z bosons with masses from 1.1TeVto 1.5TeV. Contributions of a Gaussian signal shape with effective cross sections ranging from approximately 0.4 to 0.001pb are also excluded in the mass range 1.5–5.0TeV
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