Stochastic volatility and leverage effect

We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.Comment: 4 pages, 2 figure

Self-avoiding walks and connective constants in small-world networks

Long-distance characteristics of small-world networks have been studied by means of self-avoiding walks (SAW's). We consider networks generated by rewiring links in one- and two-dimensional regular lattices. The number of SAW's $u_n$ was obtained from numerical simulations as a function of the number of steps $n$ on the considered networks. The so-called connective constant, $\mu = \lim_{n \to \infty} u_n/u_{n-1}$, which characterizes the long-distance behavior of the walks, increases continuously with disorder strength (or rewiring probability, $p$). For small $p$, one has a linear relation $\mu = \mu_0 + a p$, $\mu_0$ and $a$ being constants dependent on the underlying lattice. Close to $p = 1$ one finds the behavior expected for random graphs. An analytical approach is given to account for the results derived from numerical simulations. Both methods yield results agreeing with each other for small $p$, and differ for $p$ close to 1, because of the different connectivity distributions resulting in both cases.Comment: 7 pages, 5 figure

First- and second-order phase transitions in a driven lattice gas with nearest-neighbor exclusion

A lattice gas with infinite repulsion between particles separated by $\leq 1$ lattice spacing, and nearest-neighbor hopping dynamics, is subject to a drive favoring movement along one axis of the square lattice. The equilibrium (zero drive) transition to a phase with sublattice ordering, known to be continuous, shifts to lower density, and becomes discontinuous for large bias. In the ordered nonequilibrium steady state, both the particle and order-parameter densities are nonuniform, with a large fraction of the particles occupying a jammed strip oriented along the drive. The relaxation exhibits features reminiscent of models of granular and glassy materials.Comment: 8 pages, 5 figures; results due to bad random number generator corrected; significantly revised conclusion

Velocity-space sensitivity of the time-of-flight neutron spectrometer at JET

The velocity-space sensitivities of fast-ion diagnostics are often described by so-called weight functions. Recently, we formulated weight functions showing the velocity-space sensitivity of the often dominant beam-target part of neutron energy spectra. These weight functions for neutron emission spectrometry (NES) are independent of the particular NES diagnostic. Here we apply these NES weight functions to the time-of-flight spectrometer TOFOR at JET. By taking the instrumental response function of TOFOR into account, we calculate time-of-flight NES weight functions that enable us to directly determine the velocity-space sensitivity of a given part of a measured time-of-flight spectrum from TOFOR

Search for leptophobic Z ' bosons decaying into four-lepton final states in proton-proton collisions at root s=8 TeV

Peer reviewe

Searches for invisible decays of the Higgs boson in pp collisions at root S=7, 8, and 13 TeV

Peer reviewe

Measurements of differential production cross sections for a Z boson in association with jets in pp collisions at root s=8 TeV

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Search for high-mass diphoton resonances in proton-proton collisions at 13 TeV and combination with 8 TeV search

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Search for heavy resonances decaying into a vector boson and a Higgs boson in final states with charged leptons, neutrinos, and b quarks

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Search for black holes and other new phenomena in high-multiplicity final states in proton-proton collisions at root s=13 TeV

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