Zobrazeno 1 - 10
of 6 768
pro vyhledávání: '"Vázquez, C."'
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy based on market theory. We formulate sin
Externí odkaz:
http://arxiv.org/abs/2410.16825
Autor:
Cerny, W., Chiti, A., Geha, M., Mutlu-Pakdil, B., Drlica-Wagner, A., Tan, C. Y., Adamów, M., Pace, A. B., Simon, J. D., Sand, D. J., Ji, A. P., Li, T. S., Vivas, A. K., Bell, E. F., Carlin, J. L., Carballo-Bello, J. A., Chaturvedi, A., Choi, Y., Doliva-Dolinsky, A., Gnedin, O. Y., Limberg, G., Martínez-Vázquez, C. E., Mau, S., Medina, G. E., Navabi, M., Noël, N. E. D., Placco, V. M., Riley, A. H., Roederer, I. U., Stringfellow, G. S., Bom, C. R., Ferguson, P. S., James, D. J., Martínez-Delgado, D., Massana, P., Nidever, D. L., Sakowska, J. D., Santana-Silva, L., Sherman, N. F., Tollerud, E. J.
We present the discovery of Aquarius III, an ultra-faint Milky Way satellite galaxy identified in the second data release of the DECam Local Volume Exploration (DELVE) survey. Based on deeper follow-up imaging with DECam, we find that Aquarius III is
Externí odkaz:
http://arxiv.org/abs/2410.00981
Autor:
Vázquez, C. Viscasillas, Solano, E., Ulla, A., Ambrosch, M., Álvarez, M. A., Manteiga, M., Magrini, L., Santoveña-Gómez, R., Dafonte, C., Pérez-Fernández, E., Aller, A., Drazdauskas, A., Mikolaitis, Š., Rodrigo, C.
Hot subdwarfs are compact blue evolved objects, burning helium in their cores surrounded by a tiny hydrogen envelope. Most models agree on a common envelope binary evolution scenario in the Red Giant phase. However, the binarity rate for these object
Externí odkaz:
http://arxiv.org/abs/2409.17783
Autor:
Sand, D. J., Mutlu-Pakdil, B., Jones, M. G., Karunakaran, A., Andrews, J. E., Bennet, P., Crnojevic, D., Donatiello, G., Drlica-Wagner, A., Fielder, C., Martinez-Delgado, D., Martinez-Vazquez, C. E., Spekkens, K., Doliva-Dolinsky, A., Hunger, L. C., Carlin, J. L., Cerny, W., Hai, T. N., McQuinn, K. B. W, Pace, A. B., Smercina, A.
We report the discovery of three faint and ultra-faint dwarf galaxies -- Sculptor A, Sculptor B and Sculptor C -- in the direction of NGC 300 (D=2.0 Mpc), a Large Magellanic Cloud-mass galaxy. Deep ground-based imaging with Gemini/GMOS resolves all t
Externí odkaz:
http://arxiv.org/abs/2409.16345
Autor:
Teixeira, G., Bom, C. R., Santana-Silva, L., Fraga, B. M. O., Darc, P., Teixeira, R., Wu, J. F., Ferguson, P. S., Martínez-Vázquez, C. E., Riley, A. H., Drlica-Wagner, A., Choi, Y., Mutlu-Pakdil, B., Pace, A. B., Sakowska, J. D., Stringfellow, G. S.
Photometric wide-field surveys are imaging the sky in unprecedented detail. These surveys face a significant challenge in efficiently estimating galactic photometric redshifts while accurately quantifying associated uncertainties. In this work, we ad
Externí odkaz:
http://arxiv.org/abs/2408.15243
Publikováno v:
Jos\'e Germ\'an L\'opez-Salas, Soledad P\'erez-Rodr\'iguez, Carlos V\'azquez, PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM), Computers & Mathematics with Applications, 169, 2024, 88-98
In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyashenko and F. Mercurio in \cite{lyashenkoMercurio:Mar2019} to model the
Externí odkaz:
http://arxiv.org/abs/2408.02289
Publikováno v:
Ana M. Ferreiro, Jos\'e A. Garc\'ia-Rodr\'iguez, Jos\'e G. L\'opez-Salas, Carlos V\'azquez, SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives, Applied Mathematics and Computation, 242, 2014
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic volatilities
Externí odkaz:
http://arxiv.org/abs/2408.01470
Autor:
López-Salas, J. G., Vázquez, C.
Publikováno v:
Jos\'e G. L\'opez-Salas, Carlos V\'azquez, PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique, Computers & Mathematics with Applications, 75, 5, 2018, 1616-1634
SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, the pricing of derivatives with SABR/LIBOR
Externí odkaz:
http://arxiv.org/abs/2408.00563
Publikováno v:
L\'{o}pez-Salas, J. G. and P\'{e}rez-Rodr\'{\i}guez, S. and V\'{a}zquez, C., AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models, SIAM Journal on Scientific Computing, 43 (1), B30-B54, 2021
In this work we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use high order in time AMFR-W methods, which belong to a class of W-methods
Externí odkaz:
http://arxiv.org/abs/2408.00559
Autor:
Tan, C. Y., Cerny, W., Drlica-Wagner, A., Pace, A. B., Geha, M., Ji, A. P., Li, T. S., Adamów, M., Anbajagane, D., Bom, C. R., Carballo-Bello, J. A., Carlin, J. L., Chang, C., Choi, Y., Collins, M. L. M., Doliva-Dolinsky, A., Ferguson, P. S., Gruendl, R. A., James, D. J., Limberg, G., Navabi, M., Martínez-Delgado, D., Martínez-Vázquez, C. E., Medina, G. E., Mutlu-Pakdil, B., Nidever, D. L., Noël, N. E. D., Riley, A. H., Sakowska, J. D., Sand, D. J., Sharp, J., Stringfellow, G. S., Tolley, C., Vivas, A. K.
We report the discovery and spectroscopic confirmation of an ultra-faint Milky Way (MW) satellite in the constellation of Leo. This system was discovered as a spatial overdensity of resolved stars observed with Dark Energy Camera (DECam) data from an
Externí odkaz:
http://arxiv.org/abs/2408.00865