Computing option pricing models under transaction costs

AbstractThis paper deals with the Barles–Soner model arising in the hedging of portfolios for option pricing with transaction costs. This model is based on a correction volatility function Ψ solution of a nonlinear ordinary differential equation. In this paper we obtain relevant properties of the function Ψ which are crucial in the numerical analysis and computing of the underlying nonlinear Black–Scholes equation. Consistency and stability of the proposed numerical method are detailed and illustrative examples are given

Fasciola hepatica en búfalos de la Provincia de Corrientes, Argentina

Fasciola hepática (Trematoda: Digenea) es el agente etiológico de la fasciolosis de los bóvidos. En la región el parásito causa pérdidas por decomiso de hígados y falta de rendimiento productivo de los animales afectados. La enfermedad está supeditada a la presencia de huéspedes intermediarios, caracoles pulmonados de la familia Lymnaeidae, cuyas poblaciones prosperan en ambientes acuáticos. En la Provincia de Corrientes la enfermedad se conoce desde hace mucho tiempo, afectando a bovinos y ovinos; no se hallaron datos referentes al ganado bubalino (Bubalus bubalis). El objetivo de este ensayo fue determinar la presencia del parásito en búfalos de 41 establecimientos ganaderos de diferentes departamentos de la provincia citada, en los cuales existían antecedentes de la enfermedad en bovinos. Durante los años 2005 a 2008 fueron relevados respectivamente 11, 14 y 16 establecimientos bubalinos (en total 1.200 búfalos de distintos sexos y edades), obteniéndose resultados positivos en once establecimientos (26,8%). Se refrenda que la fasciolosis aparece cuando los búfalos son introducidos en lugares ocupados previamente por bovinos infestados con F. hepatica

Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

[EN] This paper deals with the numerical analysis and computing of a nonlinear model of option pricing appearing in illiquid markets with observable parameters for derivatives. A consistent monotone finite difference scheme is proposed and a stability condition on the stepsize discretizations is given. © 2010 Elsevier Ltd. All rights reserved.This paper has been supported by the Spanish Department of Science and Education grant DPI2010-C02-01.Casabán Bartual, MC.; Company Rossi, R.; Jódar Sánchez, LA.; Pintos Taronger, JR. (2011). Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives. Computers and Mathematics with Applications. 61(8):1951-1956. doi:10.1016/j.camwa.2010.08.009S1951195661

FIR-detected Lyman break galaxies at z ~ 3: Dust attenuation and dust correction factors at high redshift

Lyman break galaxies (LBGs) represent one of the kinds of star-forming galaxies that are found in the high-redshift universe. The detection of LBGs in the FIR domain can provide very important clues on their dust attenuation and total SFR, allowing a more detailed study than those performed so far. In this work we explore the FIR emission of a sample of 16 LBGs at z ~ 3 in the GOODS-North and GOODS-South fields that are individually detected in PACS-100um or PACS-160um. These detections demonstrate the possibility of measuring the dust emission of LBGs at high redshift. We find that PACS-detected LBGs at z ~ 3 are highly obscured galaxies which belong to the Ultra luminous IR galaxies or Hyper luminous IR galaxies class. Their total SFR cannot be recovered with the dust attenuation factors obtained from their UV continuum slope or their SED-derived dust attenuation employing Bruzual & Charlot (2003) templates. Both methods underestimate the results for most of the galaxies. Comparing with a sample of PACS-detected LBGs at z ~ 1 we find evidences that the FIR emission of LBGs might have changed with redshift in the sense that the dustiest LBGs found at z ~ 3 have more prominent FIR emission, are dustier for a given UV slope, and have higher SFR for a given stellar mass than the dustiest LBGs found at z ~ 1.Comment: Accepted for publication in A&A letter

Lyman break and UV-selected galaxies at z ~ 1: II. PACS-100um/160um FIR detections

We report the PACS-100um/160um detections of a sample of 42 GALEX-selected and FIR-detected Lyman break galaxies (LBGs) at z ~ 1 located in the COSMOS field and analyze their ultra-violet (UV) to far-infrared (FIR) properties. The detection of these LBGs in the FIR indicates that they have a dust content high enough so that its emission can be directly detected. According to a spectral energy distribution (SED) fitting with stellar population templates to their UV-to-near-IR observed photometry, PACS-detected LBGs tend to be bigger, more massive, dustier, redder in the UV continuum, and UV-brighter than PACS-undetected LBGs. PACS-detected LBGs at z ~ 1 are mostly disk-like galaxies and are located over the green-valley and red sequence of the color-magnitude diagram of galaxies at their redshift. By using their UV and IR emission, we find that PACS-detected LBGs tend to be less dusty and have slightly higher total star-formation rates (SFRs) than other PACS-detected UV-selected galaxies within their same redshift range. As a consequence of the selection effect due to the depth of the FIR observations employed, all our PACS-detected LBGs are LIRGs. However, none of them are in the ULIRG regime, where the FIR observations are complete. The finding of ULIRGs-LBGs at higher redshifts suggests an evolution of the FIR emission of LBGs with cosmic time. In an IRX-$\beta$ diagram, PACS-detected LBGs at z ~ 1 tend to be located around the relation for local starburst similarly to other UV-selected PACS-detected galaxies at their same redshift. Consequently, the dust-correction factors obtained with their UV continuum slope allow to determine their total SFR, unlike at higher redshifts. However, the dust attenuation derived from UV to NIR SED fitting overestimates the total SFR for most of our PACS-detected LBGs in age-dependent way: the overestimation factor is higher in younger galaxies.Comment: Accepted for publication in MNRA

Detecting microvariability in type 2 quasars using enhanced F-test

Microvariability (intranight variability) is a low amplitude flux change at short time-scales (i.e. hours). It has been detected in unobscured type 1 active galactic nuclei (AGN) and blazars. However in type 2 AGN, the detection is hampered by the low contrast between the presumably variable nucleus and the host galaxy. In this paper, we present a search for microvariability in a sample of four type 2 quasars as an astrostatistical problem. We are exploring the use of a newly introduced enhanced F-test, proposed by Diego. The presented results show that out of four observed target, we are able to apply this statistical method to three of them. Evidence of microvariations is clear in the case of quasar J0802+2552 in all used filters (g?, r? and i?) during both observing nights, and they are present in one of the nights of observations, J1258+5239 in one filter (i?), while for the J1316+4452, there is evidence for microvariability within our detection levels during one night and two filters (r? and i?). We demonstrate the feasibility of the enhanced F-test to detect microvariability in obscured type 2 quasars. At the end of this paper, we discuss possible causes of microvariability. One of the options is the misclassification of the targets. A likely scenario for explanation of the phenomenon involves optically thin gaps in a clumpy obscuring medium, in accordance with the present view of the circumnuclear medium. There is a possible interesting connection between the merging state of the targets and detection of microvariability

Loop Quantum Cosmology: A Status Report

The goal of this article is to provide an overview of the current state of the art in loop quantum cosmology for three sets of audiences: young researchers interested in entering this area; the quantum gravity community in general; and, cosmologists who wish to apply loop quantum cosmology to probe modifications in the standard paradigm of the early universe. An effort has been made to streamline the material so that, as described at the end of section I, each of these communities can read only the sections they are most interested in, without a loss of continuity.Comment: 138 pages, 15 figures. Invited Topical Review, To appear in Classical and Quantum Gravity. Typos corrected, clarifications and references adde

Physical properties of Lyman-alpha emitters at z∼0.3z\sim 0.3 from UV-to-FIR measurements

The analysis of the physical properties of low-redshift Ly$\alpha$ emitters (LAEs) can provide clues in the study of their high-redshift analogues. At $z \sim 0.3$, LAEs are bright enough to be detected over almost the entire electromagnetic spectrum and it is possible to carry out a more precise and complete study than at higher redshifts. In this study, we examine the UV and IR emission, dust attenuation, SFR and morphology of a sample of 23 GALEX-discovered star-forming (SF) LAEs at $z \sim 0.3$ with direct UV (GALEX), optical (ACS) and FIR (PACS and MIPS) data. Using the same UV and IR limiting luminosities, we find that LAEs at $z\sim 0.3$ tend to be less dusty, have slightly higher total SFRs, have bluer UV continuum slopes, and are much smaller than other galaxies that do not exhibit Ly$\alpha$ emission in their spectrum (non-LAEs). These results suggest that at $z \sim 0.3$ Ly$\alpha$ photons tend to escape from small galaxies with low dust attenuation. Regarding their morphology, LAEs belong to Irr/merger classes, unlike non-LAEs. Size and morphology represent the most noticeable difference between LAEs and non-LAEs at $z \sim 0.3$. Furthermore, the comparison of our results with those obtained at higher redshifts indicates that either the Ly$\alpha$ technique picks up different kind of galaxies at different redshifts or that the physical properties of LAEs are evolving with redshift.Comment: Accepted for publication in Ap

The GOGREEN survey : Internal dynamics of clusters of galaxies at redshift 0.9-1.4

Context. The study of galaxy cluster mass profiles (M(r)) provides constraints on the nature of dark matter and on physical processes affecting the mass distribution. The study of galaxy cluster velocity anisotropy profiles (beta (r)) informs the orbits of galaxies in clusters, which are related to their evolution. The combination of mass profiles and velocity anisotropy profiles allows us to determine the pseudo phase-space density profiles (Q(r)); numerical simulations predict that these profiles follow a simple power law in cluster-centric distance.Aims. We determine the mass, velocity anisotropy, and pseudo phase-space density profiles of clusters of galaxies at the highest redshifts investigated in detail to date.Methods. We exploited the combination of the GOGREEN and GCLASS spectroscopic data-sets for 14 clusters with mass M-200 >= 10(14) M-circle dot at redshifts 0.9 = 10(9.5) M-circle dot. We used the MAMPOSSt method to constrain several M(r) and beta (r) models, and we then inverted the Jeans equation to determine the ensemble cluster beta (r) in a non-parametric way. Finally, we combined the results of the M(r) and beta (r) analysis to determine Q(r) for the ensemble cluster.Results. The concentration c(200) of the ensemble cluster mass profile is in excellent agreement with predictions from Lambda cold dark matter (Lambda CDM) cosmological numerical simulations, and with previous determinations for clusters of similar mass and at similar redshifts, obtained from gravitational lensing and X-ray data. We see no significant difference between the total mass density and either the galaxy number density distributions or the stellar mass distribution. Star-forming galaxies are spatially significantly less concentrated than quiescent galaxies. The orbits of cluster galaxies are isotropic near the center and more radial outside. Star-forming galaxies and galaxies of low stellar mass tend to move on more radially elongated orbits than quiescent galaxies and galaxies of high stellar mass. The profile Q(r), determined using either the total mass or the number density profile, is very close to the power-law behavior predicted by numerical simulations.Conclusions. The internal dynamics of clusters at the highest redshift probed in detail to date are very similar to those of lower-redshift clusters, and in excellent agreement with predictions of numerical simulations. The clusters in our sample have already reached a high degree of dynamical relaxation.Peer reviewe