Robust pricing and hedging of double no-touch options

Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of these options based on the prices of more liquidly traded options (call and digital call options). Key steps are the construction of super- and sub-hedging strategies to establish the bounds, and the use of Skorokhod embedding techniques to show the bounds are the best possible. In addition to establishing rigorous bounds, we consider carefully what is meant by arbitrage in settings where there is no {\it a priori} known probability measure. We discuss two natural extensions of the notion of arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are needed to establish equivalence between the lack of arbitrage and the existence of a market model.Comment: 32 pages, 5 figure

Local time and the pricing of time-dependent barrier options

A time-dependent double-barrier option is a derivative security that delivers the terminal value $\phi(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers b_\pm:[0,T]\to \RR_+ have been hit during the time interval $[0,T]$. Using a probabilistic approach we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a wide class of payoff functions $\phi$, barrier functions $b_\pm$ and linear diffusions $(S_t)_{t\in[0,T]}$. We show that the barrier premium can be expressed as a sum of integrals along the barriers $b_\pm$ of the option's deltas \Delta_\pm:[0,T]\to\RR at the barriers and that the pair of functions $(\Delta_+,\Delta_-)$ solves a system of Volterra integral equations of the first kind. We find a semi-analytic solution for this system in the case of constant double barriers and briefly discus a numerical algorithm for the time-dependent case.Comment: 32 pages, to appear in Finance and Stochastic

Search for flavour-changing neutral currents in processes with one top quark and a photon using 81 fb⁻¹ of pp collisions at \sqrts = 13 TeV with the ATLAS experiment

A search for flavour-changing neutral current (FCNC) events via the coupling of a top quark, a photon, and an up or charm quark is presented using 81 fb−1 of proton–proton collision data taken at a centre-of-mass energy of 13 TeV with the ATLAS detector at the LHC. Events with a photon, an electron or muon, a b-tagged jet, and missing transverse momentum are selected. A neural network based on kinematic variables differentiates between events from signal and background processes. The data are consistent with the background-only hypothesis, and limits are set on the strength of the tqγ coupling in an effective field theory. These are also interpreted as 95% CL upper limits on the cross section for FCNC tγ production via a left-handed (right-handed) tuγ coupling of 36 fb (78 fb) and on the branching ratio for t→γu of 2.8×10−5 (6.1×10−5). In addition, they are interpreted as 95% CL upper limits on the cross section for FCNC tγ production via a left-handed (right-handed) tcγ coupling of 40 fb (33 fb) and on the branching ratio for t→γc of 22×10−5 (18×10−5). © 2019 The Author(s

Combination of searches for Higgs boson pairs in pp collisions at \sqrts = 13 TeV with the ATLAS detector

This letter presents a combination of searches for Higgs boson pair production using up to 36.1 fb(-1) of proton-proton collision data at a centre-of-mass energy root s = 13 TeV recorded with the ATLAS detector at the LHC. The combination is performed using six analyses searching for Higgs boson pairs decaying into the b (b) over barb (b) over bar, b (b) over barW(+)W(-), b (b) over bar tau(+)tau(-), W+W-W+W-, b (b) over bar gamma gamma and W+W-gamma gamma final states. Results are presented for non-resonant and resonant Higgs boson pair production modes. No statistically significant excess in data above the Standard Model predictions is found. The combined observed (expected) limit at 95% confidence level on the non-resonant Higgs boson pair production cross-section is 6.9 (10) times the predicted Standard Model cross-section. Limits are also set on the ratio (kappa(lambda)) of the Higgs boson self-coupling to its Standard Model value. This ratio is constrained at 95% confidence level in observation (expectation) to -5.0 &lt; kappa(lambda) &lt; 12.0 (-5.8 &lt; kappa(lambda) &lt; 12.0). In addition, limits are set on the production of narrow scalar resonances and spin-2 Kaluza-Klein Randall-Sundrum gravitons. Exclusion regions are also provided in the parameter space of the habemus Minimal Supersymmetric Standard Model and the Electroweak Singlet Model. For complete list of authors see http://dx.doi.org/10.1016/j.physletb.2019.135103</p

Searches for lepton-flavour-violating decays of the Higgs boson in s=13\sqrt{s}=13 TeV pp\mathit{pp} collisions with the ATLAS detector

This Letter presents direct searches for lepton flavour violation in Higgs boson decays, H → eτ and H → μτ , performed with the ATLAS detector at the LHC. The searches are based on a data sample of proton–proton collisions at a centre-of-mass energy √s = 13 TeV, corresponding to an integrated luminosity of 36.1 fb−1. No significant excess is observed above the expected background from Standard Model processes. The observed (median expected) 95% confidence-level upper limits on the leptonflavour-violating branching ratios are 0.47% (0.34+0.13−0.10%) and 0.28% (0.37+0.14−0.10%) for H → eτ and H → μτ , respectively.publishedVersio

Measurement of prompt photon production in sNN√=8.16 TeV p+Pb collisions with ATLAS

The inclusive production rates of isolated, prompt photons in p+Pb collisions at sNN√=8.16 TeV are studied with the ATLAS detector at the Large Hadron Collider using a dataset with an integrated luminosity of 165 nb−1 recorded in 2016. The cross-section and nuclear modification factor RpPb are measured as a function of photon transverse energy from 20 GeV to 550 GeV and in three nucleon-nucleon centre-of-mass pseudorapidity regions, (-2.83,-2.02), (-1.84,0.91), and (1.09,1.90). The cross-section and RpPb values are compared with the results of a next-to-leading-order perturbative QCD calculation, with and without nuclear parton distribution function modifications, and with expectations based on a model of the energy loss of partons prior to the hard scattering. The data disfavour a large amount of energy loss and provide new constraints on the parton densities in nuclei.We acknowledge the support of ANPCyT, Argentina; YerPhI, Ar-menia; ARC, Australia; BMWFW and FWF, Austria; ANAS, Azer-baijan; SSTC, Belarus; CNPq and FAPESP, Brazil; NSERC, NRC and CFI, Canada; CERN; CONICYT, Chile; CAS, MOST and NSFC, China; COLCIENCIAS, Colombia; MSMT CR, MPO CR and VSC CR, Czech Republic; DNRF and DNSRC, Denmark; IN2P3-CNRS, CEA-DRF/IRFU, France; SRNSFG, Georgia; BMBF, HGF, and MPG, Germany; GSRT, Greece; RGC, Hong Kong SAR, China; ISF and Benoziyo Center, Is-rael; INFN, Italy; MEXT and JSPS, Japan; CNRST, Morocco; NWO, Netherlands; RCN, Norway; MNiSW and NCN, Poland; FCT, Portu-gal; MNE/IFA, Romania; MES of Russia and NRC KI, Russian Fed-eration; JINR; MESTD, Serbia; MSSR, Slovakia; ARRS and MIZŠ, Slovenia; DST/NRF, South Africa; MINECO, Spain; SRC and Wallen-berg Foundation, Sweden; SERI, SNSF and Cantons of Bern and Geneva, Switzerland; MOST, Taiwan; TAEK, Turkey; STFC, United Kingdom; DOE and NSF, United States of America. In addition, in-dividual groups and members have received support from BCKDF, Canarie, CRC and Compute Canada, Canada; COST, ERC, ERDF, Hori-zon 2020, and Marie Skłodowska-Curie Actions, European Union; Investissements d’ Avenir Labex and Idex, ANR, France; DFG and AvH Foundation, Germany; Herakleitos, Thales and Aristeia pro-grammes co-financed by EU-ESF and the Greek NSRF, Greece; BSF-NSF and GIF, Israel; CERCA Programme Generalitat de Catalunya, Spain; The Royal Society and Leverhulme Trust, United Kingdom

Comparison between simulated and observed LHC beam backgrounds in the ATLAS experiment at Ebeam =4 TeV

Results of dedicated Monte Carlo simulations of beam-induced background (BIB) in the ATLAS experiment at the Large Hadron Collider (LHC) are presented and compared with data recorded in 2012. During normal physics operation this background arises mainly from scattering of the 4 TeV protons on residual gas in the beam pipe. Methods of reconstructing the BIB signals in the ATLAS detector, developed and implemented in the simulation chain based on the \textscFluka Monte Carlo simulation package, are described. The interaction rates are determined from the residual gas pressure distribution in the LHC ring in order to set an absolute scale on the predicted rates of BIB so that they can be compared quantitatively with data. Through these comparisons the origins of the BIB leading to different observables in the ATLAS detectors are analysed. The level of agreement between simulation results and BIB measurements by ATLAS in 2012 demonstrates that a good understanding of the origin of BIB has been reached

Search for long-lived neutral particles in pp collisions at s√=13 TeV that decay into displaced hadronic jets in the ATLAS calorimeter

This paper describes a search for pairs of neutral, long-lived particles decaying in the ATLAS calorimeter. Long-lived particles occur in many extensions to the Standard Model and may elude searches for new promptly decaying particles. The analysis considers neutral, long-lived scalars with masses between 5 and 400 GeV, produced from decays of heavy bosons with masses between 125 and 1000 GeV, where the long-lived scalars decay into Standard Model fermions. The analysis uses either 10.8 fb−1 or 33.0 fb−1 of data (depending on the trigger) recorded in 2016 at the LHC with the ATLAS detector in proton–proton collisions at a centre-of-mass energy of 13 TeV. No significant excess is observed, and limits are reported on the production cross section times branching ratio as a function of the proper decay length of the long-lived particles

Measurement of the top-quark mass using a leptonic invariant mass in pp collisions at s√ = 13 TeV with the ATLAS detector

A measurement of the top-quark mass (mt) in the tt¯ → lepton + jets channel is presented, with an experimental technique which exploits semileptonic decays of b-hadrons produced in the top-quark decay chain. The distribution of the invariant mass mℓμ of the lepton, ℓ (with ℓ = e, μ), from the W-boson decay and the muon, μ, originating from the b-hadron decay is reconstructed, and a binned-template profile likelihood fit is performed to extract mt. The measurement is based on data corresponding to an integrated luminosity of 36.1 fb−1 of s√ = 13 TeV pp collisions provided by the Large Hadron Collider and recorded by the ATLAS detector. The measured value of the top-quark mass is mt = 174.41 ± 0.39 (stat.) ± 0.66 (syst.) ± 0.25 (recoil) GeV, where the third uncertainty arises from changing the PYTHIA8 parton shower gluon-recoil scheme, used in top-quark decays, to a recently developed setup

Search for single vector-like B quark production and decay via B → bH(b¯b) in pp collisions at √s = 13 TeV with the ATLAS detector

A search is presented for single production of a vector-like B quark decaying into a Standard Model b-quark and a Standard Model Higgs boson, which decays into a b¯b pair. The search is carried out in 139 fb−1 of √s = 13 TeV proton-proton collision data collected by the ATLAS detector at the LHC between 2015 and 2018. No significant deviation from the Standard Model background prediction is observed, and mass-dependent exclusion limits at the 95% confidence level are set on the resonance production cross-section in several theoretical scenarios determined by the couplings cW, cZ and cH between the B quark and the Standard Model W, Z and Higgs bosons, respectively. For a vector-like B occurring as an isospin singlet, the search excludes values of cW greater than 0.45 for a B resonance mass (mB) between 1.0 and 1.2 TeV. For 1.2 TeV < mB < 2.0 TeV, cW values larger than 0.50–0.65 are excluded. If the B occurs as part of a (B, Y) doublet, the smallest excluded cZ coupling values range between 0.3 and 0.5 across the investigated resonance mass range 1.0 TeV < mB < 2.0 TeV