1,345 research outputs found
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
We introduce a class of randomly time-changed fast mean-reverting stochastic
volatility models and, using spectral theory and singular perturbation
techniques, we derive an approximation for the prices of European options in
this setting. Three examples of random time-changes are provided and the
implied volatility surfaces induced by these time-changes are examined as a
function of the model parameters. Three key features of our framework are that
we are able to incorporate jumps into the price process of the underlying
asset, allow for the leverage effect, and accommodate multiple factors of
volatility, which operate on different time-scales
The Nearest Group of Galaxies
The small Antlia-Sextans clustering of galaxies is located at a distance of
only 1.36 Mpc from the Sun, and 1.72 Mpc from the adopted barycenter of the
Local Group. The latter value is significantly greater than the radius of the
zero- velocity surface of the Local Group which, for an assumed age of 14 Gyr,
has Ro = 1.18 " 0.15 Mpc. This, together with the observation that the members
of the Ant-Sex group have a mean redshift of +114 " 12 km s-1 relative to the
centroid of the Local Group, suggests that the Antlia-Sextans group is not
bound to our Local Group, and that it is expanding with the Hubble flow. If
this conclusion is correct, then Antlia-Sextans may be the nearest external
clustering of galaxies. The total galaxian population of the Ant-Sex group is ~
1/5 that of the Local Group. However, the integrated luminosity of Ant-Sex is
two orders of magnitude lower than that of the Local Group.
Subject headings: Galaxies - clusters: individual (Antlia-Sextans)Comment: Has been accepted for publication in the Astrophysical Journal
Letter
An Atlas of H-alpha and R Images and Radial Profiles of 29 Bright Isolated Spiral Galaxies
Narrow-band H-alpha+[NII] and broadband R images and surface photometry are
presented for a sample of 29 bright (M_B < -18) isolated S0-Scd galaxies within
a distance of 48 Mpc. These galaxies are among the most isolated nearby spiral
galaxies of their Hubble classifications as determined from the Nearby Galaxies
Catalog (Tully 1987a).Comment: To appear in Astrophysical Journal Supplement Series. 17 pages,
including 8 atlas pages in JPEG format. Version with high resolution figures
available at http://www1.union.edu/~koopmanr/preprints.htm
Long-range memory model of trading activity and volatility
Earlier we proposed the stochastic point process model, which reproduces a
variety of self-affine time series exhibiting power spectral density S(f)
scaling as power of the frequency f and derived a stochastic differential
equation with the same long range memory properties. Here we present a
stochastic differential equation as a dynamical model of the observed memory in
the financial time series. The continuous stochastic process reproduces the
statistical properties of the trading activity and serves as a background model
for the modeling waiting time, return and volatility. Empirically observed
statistical properties: exponents of the power-law probability distributions
and power spectral density of the long-range memory financial variables are
reproduced with the same values of few model parameters.Comment: 12 pages, 5 figure
Gas Rich Dwarf Spheroidals
We present evidence that nearly half of the dwarf spheroidal galaxies (dSph
and dSph/dIrr) in the Local Group are associated with large reservoirs of
atomic gas, in some cases larger than the stellar mass. The gas is sometimes
found at large distance (~10 kpc) from the center of a galaxy and is not
necessarily centered on it. Similarly large quantities of ionized gas could be
hidden in these systems as well. The properties of some of the gas reservoirs
are similar to the median properties of the High-Velocity Clouds (HVCs); two of
the HI reservoirs are catalogued HVCs. The association of the HI with the dwarf
spheroidals might thus provide a link between the HVCs and stars. We show that
the HI content of the Local Group dSphs and dIrrs exhibits a sharp decline if
the galaxy is within 250 kpc of either the Milky Way or M31. This can be
explained if both galaxies have a sufficiently massive x-ray emitting halo that
produces ram-pressure stripping if a dwarf ventures too close to either giant
spiral. We also investigate tidal stripping of the dwarf galaxies and find that
although it may play a role, it cannot explain the apparent total absence of
neutral gas in most dSph galaxies at distances less than 250 kpc. For the
derived mean density of the hot gas, n_0 = 2.5e-5 cm^-2, ram-pressure stripping
is found to be more than an order of magnitude more effective in removing the
gas from the dSph galaxies. The hot halo, with an inferred mass of 1e10 solar
masses, may represent a reservoir of ~1000 destroyed dwarf systems, either HVCs
or true dwarf galaxies similar to those we observe now.Comment: AASTex preprint style, 27 pages including 12 figures. Submitted to
ApJ. See also http://astro.berkeley.edu/~robisha
Cepheid Period-Radius and Period-Luminosity Relations and the Distance to the LMC
We have used the infrared Barnes-Evans surface brightness technique to derive
the radii and distances of 34 Galactic Cepheid variables. Radius and distance
results obtained from both versions of the technique are in excellent
agreement. The radii of 28 variables are used to determine the period-radius
relation. This relation is found to have a smaller dispersion than in previous
studies, and is identical to the period-radius relation found by Laney & Stobie
from a completely independent method, a fact which provides persuasive evidence
that the Cepheid period-radius relation is now determined at a very high
confidence level. We use the accurate infrared distances to determine
period-luminosity relations in the V, I, J, H and K passbands from the Galactic
sample of Cepheids. We derive improved slopes of these relations from updated
LMC Cepheid samples and adopt these slopes to obtain accurate absolute
calibrations of the PL relation. By comparing these relations to the ones
defined by the LMC Cepheids, we derive strikingly consistent and precise values
for the LMC distance modulus in each of the passbands which yield a mean value
of DM (LMC) = 18.46 +- 0.02.
Our results show that the infrared Barnes-Evans technique is very insensitive
to both Cepheid metallicity and adopted reddening, and therefore a very
powerful tool to derive accurate distances to nearby galaxies by a direct
application of the technique to their Cepheid variables, rather than by
comparing PL relations of different galaxies, which introduces much more
sensitivity to metallicity and absorption corrections which are usually
difficult to determine.Comment: LaTeX, AASTeX style, 9 Figures, 10 Tables, The Astrophysical Journal
in press (accepted Oct. 14, 1997). Fig. 3 replace
Cepheid variables in the LMC cluster NGC 1866. I. New BVRI CCD photometry
We report BV(RI)c CCD photometric data for a group of seven Cepheid variables
in the young, rich cluster NGC 1866 in the Large Magellanic Cloud. The
photometry was obtained as part of a program to determine accurate distances to
these Cepheids by means of the infrared surface brightness technique, and to
improve the LMC Cepheid database for constructing Cepheid PL and PLC relations.
Using the new data together with data from the literature, we have determined
improved periods for all variables. For five fundamental mode pulsators, the
light curves are now of excellent quality and will lead to accurate distance
and radius determinations once complete infrared light curves and radial
velocity curves for these variables become available.Comment: To appear in ApJ Supp., AASTeX, 24 pages, 8 tables, 8 figure
The Star Blended with the MOA-2008-BLG-310 Source Is Not the Exoplanet Host Star
High resolution Hubble Space Telescope (HST) image analysis of the
MOA-2008-BLG-310 microlens system indicates that the excess flux at the
location of the source found in the discovery paper cannot primarily be due to
the lens star because it does not match the lens-source relative proper motion,
, predicted by the microlens models. This excess flux is most
likely to be due to an unrelated star that happens to be located in close
proximity to the source star. Two epochs of HST observations indicate proper
motion for this blend star that is typical of a random bulge star, but is not
consistent with a companion to the source or lens stars if the flux is
dominated by only one star, aside from the lens. We consider models in which
the excess flux is due to a combination of an unrelated star and the lens star,
and this yields 95\% confidence level upper limit on the lens star brightness
of and . A Bayesian analysis using a standard
Galactic model and these magnitude limits yields a host star mass , a planet mass of at a projected separation of AU. This result illustrates excess flux in a high
resolution image of a microlens-source system need not be due to the lens. It
is important to check that the lens-source relative proper motion is consistent
with the microlensing prediction. The high resolution image analysis techniques
developed in this paper can be used to verify the WFIRST exoplanet microlensing
survey mass measurements.Comment: Submitted to AJ on March 18, 201
Theoretical Models for Classical Cepheids: IV. Mean Magnitudes and Colors and the Evaluation of Distance, Reddening and Metallicity
We discuss the metallicity effect on the theoretical visual and near-infrared
PL and PLC relations of classical Cepheids, as based on nonlinear, nonlocal and
time--dependent convective pulsating models at varying chemical composition. In
view of the two usual methods of averaging (magnitude-weighted and
intensity-weighted) observed magnitudes and colors over the full pulsation
cycle, we briefly discuss the differences between static and mean quantities.
We show that the behavior of the synthetic mean magnitudes and colors fully
reproduces the observed trend of Galactic Cepheids, supporting the validity of
the model predictions. In the second part of the paper we show how the estimate
of the mean reddening and true distance modulus of a galaxy from Cepheid VK
photometry depend on the adopted metal content, in the sense that larger
metallicities drive the host galaxy to lower extinctions and distances.
Conversely, self-consistent estimates of the Cepheid mean reddening, distance
and metallicity may be derived if three-filter data are taken into account. By
applying the theoretical PL and PLC relations to available BVK data of Cepheids
in the Magellanic Clouds we eventually obtain Z \sim 0.008, E(B-V) \sim 0.02
mag, DM \sim 18.63 mag for LMC and Z \sim 0.004, E(B-V) \sim 0.01 mag., DM \sim
19.16 mag. for SMC. The discrepancy between such reddenings and the current
values based on BVI data is briefly discussed.Comment: 16 pages, 11 postscript figures, accepted for publication on Ap
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