MSSM SUGRA searches at LEP

During the LEP2 operation, the 4 LEP experiments have collected data at centre-of-mass energies up to 209 GeV. Those data have been analysed in the search of charginos, neutralinos and sfermions in the framework of the Minimal Supersymmetric Standard Model (MSSM) with R-parity conservation and assuming the lightest neutralino to be the Lightest Supersymmetric Particle (SUGRA-model). No evidence for a signal was found in any of the channels. The results of each search were used to derive upper limits on production cross-sections and masses. In addition, the combined result of all searches excludes regions in the parameter space of the constrained MSSM, leading to limits on the mass of the LSP. All limits are given at 95% confidence level, all results are preliminary.Comment: 4 Pages, 5 figures, Talk given at XXXVI Rencontres de Moriond, Les Arcs, France, March 17-24 200

An interest rates cluster analysis

An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time-series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.Comment: 7 pages, 7 figure

Detailed empirical study of the term structure of interest rates. Emergence of power laws and scaling laws

peer reviewedThe technique of Pade Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a function of the Lag but also as a function of the average inital rate. This is especially true for the one year maturity where critical forms and critical exponents are obtained. This suggests future work in the direction of constructing a theory of variations of interest rates at a more 'microscopic' level

On pricing of interest rate derivatives

At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible martingale pricing scheme is discussed.Comment: 9 pages, 13 figure