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Hedging under an expected loss constraint with small transaction costs
No full textWe consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach. Explicit formulae are also obtained in the special cases of an exponential or power loss function. As a corollary, we retrieve the asymptotics for the exponential utility indifference price
Climatic Conditions and Productivity: An Impact Evaluation in Pre-industrial England
No full textInternational audienc
Local minimization algorithms for dynamic programming equations
No full textInternational audienceThe numerical realization of the dynamic programming principle for continuous-timeoptimal control leads to nonlinear Hamilton-Jacobi-Bellman equations which require the minimization of a nonlinear mapping over the set of admissible controls. This minimization is often performedby comparison over a finite number of elements of the control set. In this paper we demonstratethe importance of an accurate realization of these minimization problems and propose algorithms bywhich this can be achieved effectively. The considered class of equations includes nonsmooth controlproblems with l1-penalization which lead to sparse controls
Precision study of the η→μμγ and ω→μ+μμπ0 electromagnetic transition form-factors and of the ρ→μμ line shape in NA60
No full textInternational audienceThe NA60 experiment studied low-mass muon pair production in proton–nucleus (p–A) collisions using a 400 GeV proton beam at the CERN SPS. The low-mass dimuon spectrum is well described by the superposition of the two-body and Dalitz decays of the light neutral mesons η , ρ , ω , η′ and ϕ , and no evidence of in-medium effects is found. A new high-precision measurement of the electromagnetic transition form factors of the η and ω was performed, profiting from a 10 times larger data sample than the peripheral In–In sample previously collected by NA60. Using the pole-parameterisation |F(M)|2=(1−M2/Λ2)−2 we find Λη−2=1.934±0.067 (stat.) ±0.050 (syst.) (GeV/c2)−2 and Λω−2=2.223±0.026 (stat.) ±0.037 (syst.) (GeV/c2)−2 . An improved value of the branching ratio of the Dalitz decay ω→μ+μ−π0 is also obtained, with BR(ω→μ+μ−π0)=[1.41±0.09 (stat.)±0.15 (syst.)]×10−4 . Further results refer to the ρ line shape and a new limit on ρ/ω interference in hadron interactions
Monitoring of atmospheric composition with IASI/MetOp Sounders : ULB/LATMOS data in open access via Ether website
No full textInternational audienceThe IASI remote sensor flying onboard the MetOp-A and -B satellites has been providing twice dailyobservation of the atmospheric composition since the end of 2007.Global distributions of several reactive species are retrieved from IASI radiance spectra in near-realtimeboth at ULB and LATMOS, using dedicated radiative transfer models and retrieval schemes.Among the different algorithms set up, the FORLI software series provides vertical profiles for CO,O3, and HNO3, while alternative methods using brightness temperature differences or so-called“hyperspectral range indices” coupled with look-up tables allow retrieval of SO2, NH3 and VOCscolumns.The FORLI software package is now implemented in the EUMETSAT operational processing chain,in the framework of the Ozone and Atmospheric Composition Satellite Application Facility(O3MSAF). CO products are now operationally distributed by EUMETCAST, and SO2, O3 andHNO3 should follow in 2016-2017.In this presentation, we will review the methods and the products available from our processingchains. Global scale distributions of CO, O3 profiles as well as SO2 and NH3 columns can bedownloaded from the Ether (AERIS) website for further scientific analysis
Impact of boreal wildfires on air quality: from regional to hemisphericscales
No full textInternational audienceWildfires are a significant source of atmospheric pollutants, including greenhouse gases andaerosols. Among the emitted species, most have long enough lifetimes to be transported overthousands of kilometres. Boreal wildfires are particularly intense and have been shown tostrongly influence the interannual variability of several atmospheric pollutants (carbonmonoxide, CO, and aerosols) in the remote Northern Hemisphere. With a fire risk increasingand fire seasons lengthening as a result of climate change, it is all the more critical to betterestimate the large-scale impact from these large events.Here, the impact of boreal fires on regional air quality in Canada and in Europe (after longrangetransport) is estimated using a combination of satellite data analysis (IASI for CO,MODIS AOD and CALIOP lidar profiles for aerosols) and modelling with the CHIMEREregional chemistry-transport model. The fire emissions are calculated using the APIFLAMEemission model, including in particular a better representation of the potential burning of theground organic layer. Their variability will first be described for the time period 2013-2015.The performance of the model to simulate the local pollution levels and the influence fromlong-range transport (in the mid and high latitudes) will be discussed, focusing on the summerof 2013. The chemical evolution of the main plumes will then be evaluated using observationsof more reactive trace gases (NH3 from IASI, NO2 from GOME-2)
Acceleration of petaelectronvolt protons in the Galactic Centre
No full textSee paper for full list of authors - 29 pages, 7 figures, 3 tables, in press, for official published article see this http URLInternational audienceGalactic cosmic rays reach energies of at least a few petaelectronvolts1 (of the order of 1015 electronvolts). This implies that our Galaxy contains petaelectronvolt accelerators (‘PeVatrons’), but all proposed models of Galactic cosmic-ray accelerators encounter difficulties at exactly these energies2. Dozens of Galactic accelerators capable of accelerating particles to energies of tens of teraelectronvolts (of the order of 1013 electronvolts) were inferred from recent γ-ray observations3. However, none of the currently known accelerators—not even the handful of shell-type supernova remnants commonly believed to supply most Galactic cosmic rays—has shown the characteristic tracers of petaelectronvolt particles, namely, power-law spectra of γ-rays extending without a cut-off or a spectral break to tens of teraelectronvolts4. Here we report deep γ-ray observations with arcminute angular resolution of the region surrounding the Galactic Centre, which show the expected tracer of the presence of petaelectronvolt protons within the central 10 parsecs of the Galaxy. We propose that the supermassive black hole Sagittarius A* is linked to this PeVatron. Sagittarius A* went through active phases in the past, as demonstrated by X-ray outbursts5and an outflow from the Galactic Centre6. Although its current rate of particle acceleration is not sufficient to provide a substantial contribution to Galactic cosmic rays, Sagittarius A* could have plausibly been more active over the last 106–107 years, and therefore should be considered as a viable alternative to supernova remnants as a source of petaelectronvolt Galactic cosmic rays
Spontaneous instabilities and stick-slip motion in a generalized Hébraud–Lequeux model
No full textInternational audienceWe revisit the Hébraud–Lequeux (HL) model for the rheology of jammed materials and argue that a possibly important time scale is missing from HL's initial specification. We show that our generalization of the HL model undergoes interesting oscillating instabilities for a wide range of parameters, which lead to intermittent, stick-slip flows under constant shear rate. The instability we find is akin to the synchronization transition of coupled elements that arises in many different contexts (neurons, fireflies, financial bankruptcies, etc.). We hope that our scenario could shed light on the commonly observed intermittent, serrated flows of glassy materials under shear
Search for supersymmetry in electroweak production with photons and large missing transverse energy in pp collisions at sqrt(s) = 8 TeV
No full textSubmitted to Phys. Lett. B ; see paper for full list of authorsInternational audienceResults are reported from a search for supersymmetry with gauge-mediated supersymmetry breaking in electroweak production. Final states with photons and large missing transverse energy (MET) were examined. The data sample was collected in pp collisions at sqrt(s) = 8 TeV with the CMS detector at the LHC and corresponds to 7.4 inverse-femtobarns. The analysis focuses on scenarios in which the lightest neutralino has bino- or wino-like components, resulting in decays to photons and gravitinos, where the gravitinos escape undetected. The data were obtained using a specially designed trigger with dedicated low thresholds, providing good sensitivity to signatures with photons, MET, and low hadronic energy. No excess of events over the standard model expectation is observed. The results are interpreted using the model of general gauge mediation. With the wino mass fixed at 10 GeV above that of the bino, wino masses below 710 GeV are excluded at 95% confidence level. Constraints are also set in the context of two simplified models, for which the analysis sets the lowest cross section limits on the electroweak production of supersymmetric particles
Luminescent nanoparticle trapping with far-field optical fiber-tip tweezers
No full textInternational audienceWe report stable and reproducible trapping of luminescent dielectric YAG:Ce3+ nanoparticles with sizes down to 60 nm using far-field dual fiber tip optical tweezers. The particles are synthesized by a specific glycothermal route followed by an original protected annealing step, resulting in significantly enhanced photostability. The tweezers properties are analyzed by studying the trapped particles residual Brownian motion using video or reflected signal records. The trapping potential is harmonic in the transverse direction to the fiber axis, but reveals interference fringes in the axial direction. Large trapping stiffnesses of 35 and 2 pN µm-1 W-1 are measured for a fiber tip-to-tip distance of 3 µm and 300-nm and 60-nm particles, respectively. The forces acting on nanoparticles are discussed within the dipolar approximation (gradient and scattering force contributions) or exact calculations using the Maxwell Stress Tensor formalism. Prospects for trapping even smaller particles are discussed