Valuation and Hedging of Contracts with Funding Costs and Collateralization

The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Cr\'epey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012). Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unified framework for the non-linear approach to hedging and pricing of OTC financial contracts. We introduce a systematic approach to valuation and hedging in nonlinear markets, that is, in markets where cash flows of the financial contracts may depend on the hedging strategies. Our systematic approach allows to identify primary sources of and quantify various adjustment to valuation and hedging, primarily the funding and liquidity adjustment and credit risk adjustment. We propose a way to define no-arbitrage in such nonlinear markets, and we provide conditions that imply absence of arbitrage in some specific market trading models. Accordingly, we formulate a concept of no-arbitrage price, and we provide relevant (non-linear) BSDE that produces the no-arbitrage price in case when the contract's cash flows can be replicated

On the eclipsing cataclysmic variable star HBHA 4705-03

We present observations and analysis of a new eclipsing binary HBHA 4705-03. Using decomposition of the light curve into accretion disk and hot spot components, we estimated photometrically the mass ratio of the studied system to be q=0.62 +-0.07. Other fundamental parameters was found with modeling. This approach gave: white dwarf mass M_1 = (0.8 +- 0.2) M_sun, secondary mass M_2=(0.497 +- 0.05) M_sun, orbital radius a=1.418 R_sun, orbital inclination i = (81.58 +- 0.5) deg, accretion disk radius r_d/a = 0.366 +- 0.002, and accretion rate dot{M} = (2.5 +- 2) * 10^{18}[g/s], (3*10^{-8} [M_sun/yr]). Power spectrum analysis revealed ambiguous low-period Quasi Periodic Oscillations centered at the frequencies f_{1}=0.00076 Hz, f_2=0.00048 Hz and f_3=0.00036 Hz. The B-V=0.04 [mag] color corresponds to a dwarf novae during an outburst. The examined light curves suggest that HBHA 4705-03 is a nova-like variable star.Comment: 7 figures and 2 tables, accepted for publication in Acta Astronomic

The first near infrared detection of XTE J1118+480 in quiescence

We report the first quiescent detection of KV UMa, the optical counterpart of XTE J1118+480 at near infrared. The observed magnitudes and colours are consistent with a K7-M0 V star, at the distance 1.4 +/- 0.2 kpc. The light curve shows strong orbital modulation with possible contamination from a superhump detected in the quiescent optical light curves.Comment: To appear in MNRAS Letters; 4 pages, 3 figure

Magnetic control assembly qualification model

Fabrication and testing of the magnetic control assembly (MCA) are summarized. The MCA was designed as an add-on unit for certain existing components of the Nimbus and ERTS attitude control system. The MCA system consists of three orthogonal electromagnets; a magnetometer probe capable of sensing external fields in the X, Y, and Z axes; and the control electronics. An operational description of the system is given along with all major drawings and photographs. Manufacturing and inspection procedures are outlined and a chronological list of events is included with the fabrication summary

IX Draconis - a curious ER UMa-type dwarf nova

We report results of an extensive world-wide observing campaign devoted to a very active dwarf nova star - IX Draconis. We investigated photometric behaviour of the system to derive its basic outburst properties and understand peculiarities of IX Dra as well as other active cataclysmic variables, in particular dwarf novae of the ER Uma-type. In order to measure fundamental parameters of the system, we carried out analyses of the light curve, O-C diagram, and power spectra. During over two months of observations we detected two superoutbursts and several normal outbursts. The V magnitude of the star varied in the range 14.6 - 18.2 mag. Superoutbursts occur regularly with the supercycle length of 58.5+/-0.5 d. When analysing data over the past 20 years, we found that the supercycle length is increasing at a rate of P_dot = 1.8 * 10^{-3}. Normal outbursts appear to be irregular, with typical occurrence times in the range 3.1 - 4.1 d. We detected a double-peaked structure of superhumps during superoutburst, with the secondary maximum becoming dominant near the end of the superoutburst. The mean superhump period observed during superoutbursts equals 0.066982(36) d, which is constant over the last two decades of observations. Based on the power spectrum analysis, the evaluation of the orbital period was problematic. We found two possible values: the first one, 0.06641(3) d, which is in agreement with previous studies and our O-C analysis (0.06646(2) d), and the second one, 0.06482(3) d, which is less likely. The evolutionary status of the object depends dramatically on the choice between these two values. A spectroscopic determination of the orbital period is needed. We updated available information on ER UMa-type stars and present a new set of their basic statistics. Thereby, we provide evidence that this class of stars is not uniform.Comment: Accepted for publication in MNRAS; 15 pages, 15 figures, 6 tables; typo correcte

HT Cas - eclipsing dwarf nova during its superoutburst in 2010

We present results of a world-wide observing campaign of the eclipsing dwarf nova - HT Cas during its superoutburst in November 2010. Using collected data we were able to conduct analysis of the light curves and we calculated $O-C$ diagrams. The CCD photometric observations enabled us to derive the superhump period and with the timings of eclipses the orbital period was calculated. Based on superhump and orbital period estimations the period excess and mass ratio of the system were obtained