| 1. |
- Schael, S, et al.
(författare)
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Precision electroweak measurements on the Z resonance
- 2006
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Ingår i: Physics Reports. - : Elsevier BV. - 0370-1573 .- 1873-6270. ; 427:5-6, s. 257-454
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Forskningsöversikt (refereegranskat)abstract
- We report on the final electroweak measurements performed with data taken at the Z resonance by the experiments operating at the electron-positron colliders SLC and LEP. The data consist of 17 million Z decays accumulated by the ALEPH, DELPHI, L3 and OPAL experiments at LEP, and 600 thousand Z decays by the SLID experiment using a polarised beam at SLC. The measurements include cross-sections, forward-backward asymmetries and polarised asymmetries. The mass and width of the Z boson, m(Z) and Gamma(Z), and its couplings to fermions, for example the p parameter and the effective electroweak mixing angle for leptons, are precisely measured: m(Z) = 91.1875 +/- 0.0021 GeV, Gamma(Z) = 2.4952 +/- 0.0023 GeV, rho(l) = 1.0050 +/- 0.0010, sin(2)theta(eff)(lept) = 0.23153 +/- 0.00016. The number of light neutrino species is determined to be 2.9840 +/- 0.0082, in agreement with the three observed generations of fundamental fermions. The results are compared to the predictions of the Standard Model (SM). At the Z-pole, electroweak radiative corrections beyond the running of the QED and QCD coupling constants are observed with a significance of five standard deviations, and in agreement with the Standard Model. Of the many Z-pole measurements, the forward-backward asymmetry in b-quark production shows the largest difference with respect to its SM expectation, at the level of 2.8 standard deviations. Through radiative corrections evaluated in the framework of the Standard Model, the Z-pole data are also used to predict the mass of the top quark, m(t) = 173(+10)(+13) GeV, and the mass of the W boson, m(W) = 80.363 +/- 0.032 GeV. These indirect constraints are compared to the direct measurements, providing a stringent test of the SM. Using in addition the direct measurements of m(t) and m(W), the mass of the as yet unobserved SM Higgs boson is predicted with a relative uncertainty of about 50% and found to be less than 285 GeV at 95% confidence level. (c) 2006 Elsevier B.V. All rights reserved.
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| 2. |
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| 3. |
- Gaspar, Raquel M
(författare)
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Credit risk and forward price models
- 2006
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. Part I is organized as follows. Chapter 1 is divided in two main sections. The first section presents some of the fundamental concepts which are a pre-requisite to the papers that follow. All of the concepts and results are well known and hence the section can be regarded as an introduction to notation and the basic principles of arbitrage theory. The second part of the chapter is of a more technical nature and its purpose is to summarize some key results on point processes or differential geometry that will be used later in the thesis. For finite dimensional factor models, Chapter 2 studies GQTS. These term structures include, as special cases, the affine term structures and Gaussian quadratic term structures previously studied in the literature. We show, however, that there are other, non-Gaussian, quadratic term structures and derive sufficient conditions for the existence of these GQTS for zero-coupon bond prices. On Part II we focus on credit risk models. In Chapter 3 we propose a reduced form model for default that allows us to derive closed-form solutions for all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and survival probabilities. We show that all these quantities can be represented in general exponential quadratic forms, despite the fact that the intensity of default is allowed to jump producing shot-noise effects. In addition, we show how to price defaultable digital puts, CDSs and options on defaultable bonds. Further on, we study a model for portfolio credit risk that considers both firm-specific and systematic risk. The model generalizes the attempt of Duffie and Garleanu (2001). We find that the model produces realistic default correlation and clustering effects. Next, we show how to price CDOs, options on CDOs and how to incorporate the link to currently proposed credit indices. In Chapter 4 we start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable $X$ on credit spreads when both the intensity and the loss quota distribution are driven by $X$. The aim is to apply the results to a real life situation, namely, to the influence of macroeconomic risks on the term structure of credit spreads. There is increasing support in the empirical literature for the proposition that both the probability of default (PD) and the loss given default (LGD) are correlated and driven by macroeconomic variables. Paradoxically, there has been very little effort, from the theoretical literature, to develop credit risk models that would take this into account. One explanation might be the additional complexity this leads to, even for the ``treatable'' default intensity models. The goal of this paper is to develop the theoretical framework necessary to deal with this situation and, through numerical simulation, understand the impact of macroeconomic factors on the term structure of credit spreads. In the proposed setup, periods of economic depression are both periods of higher default intensity and lower recovery, producing a business cycle effect. Furthermore, we allow for the possibility of an index volatility that depends negatively on the index level and show that, when we include this realistic feature, the impacts on the credit spread term structure are emphasized. Part III studies forward price term structure models. Forward prices differ from futures prices in stochastic interest rate settings and become an interesting object of study in their own right. Forward prices with different maturities are martingales under different forward measures. This mathematical property implies that the term structure of forward prices is always linked to the term structure of bond prices, and this dependence makes forward price term structure models relatively harder to handle. For finite dimensional factor models, Chapter 5 applies the concept of GQTS to the term structure of forward prices. We show how the forward price term structure equation depends on the term structure of bond prices. We then exploit this connection and show that even in quadratic short rate settings we can have affine term structures for forward prices. Finally, we show how the study of futures prices is naturally embedded in the study of forward prices, that the difference between the two term structures may be deterministic in some (non-trivial) stochastic interest rate settings. In Chapter 6 we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, $\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\Q$, is described by using two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest rates, driven by a multidimensional Wiener process $W$. The second system is an infinite SDE for the term structure of forward prices on some specified underlying asset driven by the same $W$. Since the zero coupon bond volatilities will enter into the drift part of the SDE for these forward prices, the interest rate system is needed as input to the forward price system. Given this setup, we use the Lie algebra methodology of Bj\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\o rk et al. to investigate under what conditions, on the volatility structure of the forward prices and/or interest rates, the inherently (doubly) infinite dimensional SDE for forward prices can be realized by a finite dimensional Markovian state space model.
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| 4. |
- Schuvailo, Oleg M., et al.
(författare)
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Ultramicrobiosensor for the selective detection of glutamate
- 2007
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Ingår i: Electroanalysis. - : Wiley. - 1040-0397 .- 1521-4109. ; 19:1, s. 71-78
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Tidskriftsartikel (refereegranskat)abstract
- Carbon fiber microelectrodes, able to detect catecholamine release from single cells, have significantly contributed to our present understanding of the mechanism of secretory neurotransmission. In spite of their obvious advantages, there are only a few amperometric sensors (characterized by appropriate size, sensitivity, and selectivity) able to measure the release of other (not easily oxidizable) neurotransmitters at cellular level. The present work describes the fabrication and characterization of an ultramicrobiosensor for the selective detection of glutamate. ne developed sensor has a size of 2.5 - 15 mu m in diameter, a sensitivity of 0.62 mA mM(-1) cm(-2), and a detection limit of 5 mu M. The excellent selectivity of the sensor (achieved using electrodeposition of Ru, Rh, and poly(m-phenylenediamine)) makes it a promising candidate for monitoring glutamate release at single cell level.
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| 5. |
- Slinko, Irina, et al.
(författare)
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Correlation between intensity and recovery in credit risk models
- 2006
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation, namely, to the influence of macroeconomic risks on credit spreads term structures. There has been increasing support in the empirical literature that both the probability of default (PD) and the loss given default (LGD) are correlated and driven by macroeconomic variables. Paradoxically, there has been very little effort from the theoretical literature to develop credit risk models that would include this possibility. A possible justification has to do with the increase in complexity this leads to, even for the "tractable" default intensity models. The goal of this paper is to develop the theoretical framework needed to handle this situation and, through numerical simulation, understand the impact on credit risk term structures of the macroeconomic risks. In the proposed model the state of the economy is modeled trough the dynamics of a market index, that enters directly on the functional form of both the intensity of default A and the distribution of the loss quota q given default. Given this setup, we are able to characterize periods of economic depression by higher default intensity and low recovery, producing thus a business cycle effect. Furthermore, we allow for the possibility of an index volatility that depends negatively on the index level and show that, when we include this realistic feature, the impacts on the credit spread term structure are emphasized.
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