arXiv subjects

G. Montagna

Publications and source records attributed to G. Montagna.

At least 55 records · Page 3Linked to original sources

arXiv2006

Matrix elements and Parton Shower in the event generator BABAYAGA

A new version of the event generator BABAYAGA is presented, which is based on an original matching of the Parton Shower approach with the complete exact O(alpha) matrix element for the inclusion of the QED radiative corrections to the Bhabha process at flavour factories. The theoretical accuracy of the improved generator is conservatively estimated to be 0.2%, by comparison with independent calculations. The generator is a useful tool for precise luminosity determination at flavour factories, for center of mass energies below 10 GeV.

hep-ph↗

arXiv2006

Matching Parton Shower and matrix elements in QED

We report on a high-precision calculation of the Bhabha process in QED, of interest for precise luminosity determination of low-energy electron-positron colliders. The calculation is based on the matching of exact next-to-leading order corrections with a Parton Shower algorithm. The structure of the algorithm (implemented in an improved version of the event generator BABAYAGA) is illustrated, with a discussion on the resulting theoretical uncertainty, of the order of 0.1 %.

hep-ph↗

arXiv2006

Precision electroweak calculation of the charged current Drell-Yan process

We present a detailed study of the charged current Drell-Yan process, which includes the exact O(alpha) electroweak corrections properly matched with leading-log effects due to multiple-photon emission, as required by the experiments at the Tevatron and the LHC. Numerical results for the relevant observables of single W boson production at hadron colliders are presented. The impact of the radiative corrections and of some sources of theoretical uncertainty is discussed in detail. The calculation has been implemented in the new version of the event generator HORACE, which is available for precision simulations of the charged current Drell-Yan process.

hep-ph↗

arXiv2006

Risk measures with non-Gaussian fluctuations

Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns distribution in terms of a Student-$t$ (or Tsallis) distribution. Non-Gaussian closed-form solutions for Value-at-Risk and Expected Shortfall are obtained and standard formulae known in the literature under the normality assumption are recovered as a special case. The implications of the approach for risk management are demonstrated through an empirical analysis of financial time series from the Italian stock market. Detailed comparison with the results of the widely used procedures of quantitative finance, such as parametric normal approach, RiskMetrics methodology and historical simulation, as well as with previous findings in the literature, are shown and commented. Particular attention is paid to quantify the size of the errors affecting the risk measures obtained according to different methodologies, by employing a bootstrap technique.

physics.soc-ph↗

arXiv2006

A Non-Gaussian Approach to Risk Measures

Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns distribution in terms of a Student-t distribution. Non-Gaussian closed-form solutions for Value-at-Risk and Expected Shortfall are obtained and standard formulae known in the literature under the normality assumption are recovered as a special case. The implications of the approach for risk management are demonstrated through an empirical analysis of financial time series from the Italian stock market and in comparison with the results of the most widely used procedures of quantitative finance. Particular attention is paid to quantify the size of the errors affecting the market risk measures obtained according to different methodologies, by employing a bootstrap technique.

physics.soc-ph↗

arXiv2006

Pricing Exotic Options in a Path Integral Approach

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the cases of Asian, barrier knock out, reverse cliquet and basket call options, evaluating prices and Greeks. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at-the-money and out-of-the-money options, the path integral approach exhibits competitive performances.

cond-mat.other↗

arXiv2006

Les Houches Physics at TeV Colliders 2005, Standard Model and Higgs working group: Summary report

This Report summarises the activities of the "SM and Higgs" working group for the Workshop "Physics at TeV Colliders", Les Houches, France, 2-20 May, 2005. On the one hand, we performed a variety of experimental and theoretical studies on standard candles (such as W, Z, and ttbar production), treating them either as proper signals of known physics, or as backgrounds to unknown physics; we also addressed issues relevant to those non-perturbative or semi-perturbative ingredients, such as Parton Density Functions and Underlying Events, whose understanding will be crucial for a proper simulation of the actual events taking place in the detectors. On the other hand, several channels for the production of the Higgs, or involving the Higgs, have been considered in some detail. The report is structured into four main parts. The first one deals with Standard Model physics, except the Higgs. A variety of arguments are treated here, from full simulation of processes constituting a background to Higgs production, to studies of uncertainties due to PDFs and to extrapolations of models for underlying events, from small-$x$ issues to electroweak corrections which may play a role in vector boson physics. The second part of the report treats Higgs physics from the point of view of the signal. In the third part, reviews are presented on the current status of multi-leg, next-to-leading order and of next-to-next-to-leading order QCD computations. Finally, the fourth part deals with the use of Monte Carlos for simulation of LHC physics.

hep-ph↗

arXiv2006

Impact of QED corrections to Higgs decay into four leptons at the LHC

At the LHC a precise measurement of the Higgs boson mass (if discovered), at the level of 0.1-1%, will be possible through the channel g g --> H --> 4l for a wide range of Higgs mass values. To match such an accuracy, the systematic effects induced by QED corrections need to be investigated. In the present study the calculation of O(alpha) and higher order QED corrections is illustrated as well as their impact on the Higgs mass determination, once realistic event selection criteria for charged leptons and photons are considered.

hep-ph↗

arXiv2004

Comparisons of the Monte Carlo programs HORACE and WINHAC for single-W-boson production at hadron colliders

We present the comparisons of two independent Monte Carlo event generators, HORACE and WINHAC, for single-W-boson production in hadronic collisions with multiphoton effects in leptonic W decays. These comparisons were performed first at the parton level with fixed quark-beams energy, and then at the hadron level for proton-proton collisions at the LHC. In general, a good agreement between the two programs has been found. Possible sources of differences in some of the presented results are discussed. We also present and discuss the effects of including non-zero quark masses for the main single-W-boson observables at the LHC.

hep-ph↗

arXiv2003

Electroweak radiative corrections and the W boson mass at hadron colliders

At present and future hadron colliders, the precision physics program started in the past will be continued. In particular, a precise determination of the W boson mass will be carried out. This requires the calculation of the radiative corrections and their implementation in Monte Carlo event generators for data analysis. In this talk, the status of the calculation of the order alpha electroweak radiative corrections is reviewed and a study of the impact of higher order QED corrections on the W boson mass is presented.

hep-ph↗

arXiv2003

The BABAYAGA event generator

The program BABAYAGA is an event generator for QED processes at flavour factories, mainly intended for luminosity measurement of e+ e- colliders in the center of mass range 1-10 GeV. Recently, the pi+ pi- channel has been added as well. The relevant (photonic) radiative corrections are simulated by means of a Parton Shower in QED. The theoretical precision of the approach is estimated and some phenomenological results are discussed.

hep-ph↗

arXiv2003

Multi-photon corrections to W boson mass determination at hadron colliders

The impact of higher-order final-state photonic corrections on the precise determination of the W-boson mass at the Tevatron and LHC colliders is evaluated. The W-mass shift from a fit to the transverse mass distribution is found to be about 10 MeV in the W --> mu nu channel and a few MeV in the W --> e nu channel. The calculation, which is implemented in the Monte Carlo event generator HORACE for data analysis, can contribute to reduce the uncertainty associated to the W mass measurement at present and future hadron collider experiments.

hep-ph↗

arXiv2003

Higher-order QED corrections to W-boson mass determination at hadron colliders

The impact of higher-order final-state photonic corrections on the precise determination of the W-boson mass at the Tevatron and LHC colliders is evaluated. In the presence of realistic selection criteria, the shift in the W mass from a fit to the transverse mass distribution is found to be about 10 MeV in the $W \to μν$ channel and almost negligible in the $W \to e ν$ channel. The calculation, which is implemented in a Monte Carlo event generator for data analysis, can contribute to reduce the uncertainty associated to the W mass measurement at future hadron collider experiments.

hep-ph↗

arXiv2002

Pricing Derivatives by Path Integral and Neural Networks

Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network parameterization of option prices. The accuracy of the two methods is established from comparisons with the results of the standard procedures used in quantitative finance.

cond-mat.stat-mech↗

arXiv2002

A Path Integral Way to Option Pricing

An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features. As examples, the application of the method to European and American options in the Black-Scholes model is illustrated. A particularly simple and fast semi-analytical approximation for the price of American options is derived. The results of the algorithm are compared with those obtained with the standard procedures known in the literature and found to be in good agreement.

cond-mat.stat-mech↗

arXiv2001

Radiative four-fermion processes at LEP2

The production of four fermions plus a visible photon in electron-positron collisions is analyzed, with particular emphasis on the LEP2 energy range. The study is based on the calculation of exact matrix elements, including the effect of fermion masses. In the light of the present measurements performed at LEP, triple and quartic anomalous gauge couplings are taken into account. Due to the presence of a visible photon in the final state, particular attention is paid to the treatment of higher-order QED corrections. Explicit results for integrated cross sections and differential distributions are shown and commented. The features of the Monte Carlo program WRAP, used to perform the calculation and available for experimental analysis, are described.

hep-ph↗

arXiv2001

Quartic anomalous couplings at LEP

The search for quartic anomalous gauge couplings at LEP requires appropriate predictions for the radiative processes e+ e- \to ν\barνγγ, e+ e- \to q\bar{q}γγand e+ e- \to 4 fermions+γ. Matrix elements are exactly computed at the tree level, and the effects of anomalous couplings and initial-state radiation are included. Comparisons with results and approximations existing in the literature are shown and commented. Improved versions of the event generators NUNUGPV and WRAP are made available for experimental analysis.

hep-ph↗

arXiv2000

Non Abelian Gauge Couplings in Four Fermion Processes at LEP

The LEP data on four fermion processes are presently used to study the non abelian gauge couplings of the Standard Model. The present theoretical error for two classes of processes, single-W production and radiative four fermion final states, is discussed according to the results of the four fermion working group of the LEP2 Monte Carlo Workshop held at CERN.

hep-ph↗