The CTMC-Heston model: calibration and exotic option pricing with SWIFT

This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model. In particular, we propose the use of a finite state continuous time Markov chain (CTMC) model, which closely approximates the classic Heston model but enables a simplified approach for consistently pricing a wide variety of financial derivatives (...

The Eighth Data Release of the Sloan Digital Sky Survey: First Data from SDSS-III

The Sloan Digital Sky Survey (SDSS) started a new phase in August 2008, with new instrumentation and new surveys focused on Galactic structure and chemical evolution, measurements of the baryon oscillation feature in the clustering of galaxies and the quasar Ly alpha forest, and a radial velocity search for planets around ~8000 stars. This paper describes the first data release of SDSS-III (and the eighth counting from the beginning of the SDSS). The release includes five-band imaging of roughly 5200 deg^2 in the Southern Galactic Cap, bringing the total footprint of the SDSS imaging to 14,555 deg^2, or over a third of the Celestial Sphere. All the imaging data have been reprocessed with an improved sky-subtraction algorithm and a final, self-consistent photometric recalibration and flat-field determination. This release also includes all data from the second phase of the Sloan Extension for Galactic Understanding and Evolution (SEGUE-2), consisting of spectroscopy of approximately 118,000 stars at both high and low Galactic latitudes. All the more than half a million stellar spectra obtained with the SDSS spectrograph have been reprocessed through an improved stellar parameters pipeline, which has better determination of metallicity for high metallicity stars.Comment: Astrophysical Journal Supplements, in press (minor updates from submitted version

Erratum: “The eighth data release of the Sloan Digital Sky Survey: first data from SDSS-III” (2011, ApJS, 193, 29)

Section 3.5 of Aihara et al. (2011) described various sources of systematic error in the astrometry of the imaging data of the Sloan Digital Sky Survey (SDSS). In addition to these sources of error, there is an additional and more serious error, which introduces a large systematic shift in the astrometry over a large area around the north celestial pole. The region has irregular boundaries but in places extends as far south as declination δ ≈ 41◦. The sense of the shift is that the positions of all sources in the affected area are offset by roughly 250 mas in a northwest direction. We have updated the SDSS online documentation to reflect these errors, and to provide detailed quality information for each SDSS field

SDSS-III: Massive Spectroscopic Surveys of the Distant Universe, the Milky Way Galaxy, and Extra-Solar Planetary Systems

Building on the legacy of the Sloan Digital Sky Survey (SDSS-I and II), SDSS-III is a program of four spectroscopic surveys on three scientific themes: dark energy and cosmological parameters, the history and structure of the Milky Way, and the population of giant planets around other stars. In keeping with SDSS tradition, SDSS-III will provide regular public releases of all its data, beginning with SDSS DR8 (which occurred in Jan 2011). This paper presents an overview of the four SDSS-III surveys. BOSS will measure redshifts of 1.5 million massive galaxies and Lya forest spectra of 150,000 quasars, using the BAO feature of large scale structure to obtain percent-level determinations of the distance scale and Hubble expansion rate at z<0.7 and at z~2.5. SEGUE-2, which is now completed, measured medium-resolution (R=1800) optical spectra of 118,000 stars in a variety of target categories, probing chemical evolution, stellar kinematics and substructure, and the mass profile of the dark matter halo from the solar neighborhood to distances of 100 kpc. APOGEE will obtain high-resolution (R~30,000), high signal-to-noise (S/N>100 per resolution element), H-band (1.51-1.70 micron) spectra of 10^5 evolved, late-type stars, measuring separate abundances for ~15 elements per star and creating the first high-precision spectroscopic survey of all Galactic stellar populations (bulge, bar, disks, halo) with a uniform set of stellar tracers and spectral diagnostics. MARVELS will monitor radial velocities of more than 8000 FGK stars with the sensitivity and cadence (10-40 m/s, ~24 visits per star) needed to detect giant planets with periods up to two years, providing an unprecedented data set for understanding the formation and dynamical evolution of giant planet systems. (Abridged)Comment: Revised to version published in The Astronomical Journa

The effect of acid-base clustering and ions on the growth of atmospheric nano-particles

The growth of freshly formed aerosol particles can be the bottleneck in their survival to cloud condensation nuclei. It is therefore crucial to understand how particles grow in the atmosphere. Insufficient experimental data has impeded a profound understanding of nano-particle growth under atmospheric conditions. Here we study nano-particle growth in the CLOUD (Cosmics Leaving OUtdoors Droplets) chamber, starting from the formation of molecular clusters. We present measured growth rates at sub-3 nm sizes with different atmospherically relevant concentrations of sulphuric acid, water, ammonia and dimethylamine. We find that atmospheric ions and small acid-base clusters, which are not generally accounted for in the measurement of sulphuric acid vapour, can participate in the growth process, leading to enhanced growth rates. The availability of compounds capable of stabilizing sulphuric acid clusters governs the magnitude of these effects and thus the exact growth mechanism. We bring these observations into a coherent framework and discuss their significance in the atmosphere.Peer reviewe

An analysis of dollar cost averaging and market timing investment strategies

In this paper we present new theoretical and practical insights into the method of dollar cost averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of the problem. Firstly, we provide a rigorous mathematical formulation for studying DCA and related strategies. This provides closed form formulae for the expected value and variance of the investor’s wealth process, which mathematically proves many properties that have been documented in the literature only by empirical studies. Secondly, we prove a counterintuitive, but important, result that the frequency of DCA investment has a non-monotonic and non-trivial impact on risk, risk-return trade-off and other important performance metrics (such as the Sharpe ratio).Thirdly, we provide a method of valuing the DCA risk for models which incorporate jumps. We also provide a method of hedging DCA risk based on applying Asian options. Finally, using the PROJ method of computation, we obtain a robust and computationally efficient method for calculating standard risk measures of generic and deterministic investment strategies, such as DCA. We provide numerical experiments to illustrate our conclusions, and conduct an empirical study on the S&P500 index (from 1954 to 2019) to substantiate our results