A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

REVIEW ON THE DETERMINATION OF α s FROM THE QCD STATIC ENERGY

We review the determination of the strong coupling αs from the comparison of the perturbative expression for the Quantum Chromodynamics static energy with lattice data. Here, we collect all the perturbative expressions needed to evaluate the static energy at the currently known accuracy.

Determination of α_{s} from the QCD static energy

We compare lattice data for the short-distance part of the static energy in 21 flavor quantum chromodynamics (QCD) with perturbative calculations, up to next-to-next-to-next-to leading-logarithmic accuracy. We show that perturbation theory describes very well the lattice data at short distances, and exploit this fact to obtain a determination of the product of the lattice scale r0 with the QCD scale ΛMS. With the input of the value of r0, this provides a determination of the strong coupling αs at the typical distance scale of the lattice data. We obtain αs1.5  GeV0.3260.019, which provides a novel determination of αs with three-loop accuracy (including resummation of the leading ultrasoft logarithms), and constitutes one of the few low-energy determinations of αs available. When this value is evolved to the Z-mass scale MZ, it corresponds to αsMZ0.11560.00220.0021.

Determination of the strong coupling alphas from the QCD static energy

We obtain a determination of the strong coupling as in quantum chromodynamics, by comparing perturbative calculations for the short-distance part of the static energy with lattice computations. Our result reads as (1.5GeV) = 0.326±0.019, and when evolved to the scale MZ (the Z-boson mass) it corresponds to as (MZ) = 0.1156+0.0021 −0.0022.

αs from the static energy in QCD

Comparing perturbative calculations with a lattice computation of the static energy in quantum chromodynamics at short distances, we obtain a determination of the strong coupling αS. Our determination is performed at a scale of around 1.5 GeV (the typical distance scale of the lattice data) and, when evolved to the Z-boson mass scale MZ, it corresponds to .

Fractionated stereotactic radiotherapy with static field conformal and non coplanar arcs for pediatric patients with craniopharyngioma: analysis of long term visual outcome and endocrine toxicity

We assessed the efficacy and the toxicity for pediatric craniopharyngioma patients of fractionated stereotactic radiotherapy (FSRT). Between May 2000 and May 2009, 9 patients (male to female ratio, 5:4) with craniopharyngiomas underwent FSRT (median dose, 54 Gy). Among the 9 patients, 6 received radiation therapy (RT) for recurrent tumors and 3 for residual disease as adjuvant therapy after incomplete surgery. Median tumor 3 volume was 2.3 cm (range, 0.1-5.8). The median target coverage was 93.7% (range 79.3-99.8%). The median conformity index was 0.94 (range, 0.6-1.4). Dose to the hippocampal region was assessed for all patients. After a median follow-up of 62.5 months (range, 32-127)the treated volume decreased in size in four of eight patients (50%). One patient was lost to follow-up. Local control and survival rates at 3 years were 100% and there were no marginal relapses. One patient, with a chronic bilateral papillary oedema after surgery, visual defect deteriorated after FSRT to a complete hemianopsia. One male patient with normal pituitary function before FSRT presented with precocious puberty at the age of 7.4 years, 24 months after FSRT. Four patients (50%) were severely obese at their last visit. FSRT is a safe treatment option for craniopharyngioma after incomplete resection.

Static and dynamic characteristics of cerebral blood flow during the resting state in schizophrenia

Background: The cerebral network that is active during rest and is deactivated during goal-oriented activity is called the default mode network (DMN). It appears to be involved in self-referential mental activity. Atypical functional connectivity in the DMN has been observed in schizophrenia. One hypothesis suggests that pathologically increased DMN connectivity in schizophrenia is linked with a main symptom of psychosis, namely, misattribution of thoughts. Methods: A resting-state pseudocontinuous arterial spin labeling (ASL) study was conducted to measure absolute cerebral blood flow (CBF) in 34 schizophrenia patients and 27 healthy controls. Using independent component analysis (ICA), the DMN was extracted from ASL data. Mean CBF and DMN connectivity were compared between groups using a 2-sample t test. Results: Schizophrenia patients showed decreased mean CBF in the frontal and temporal regions (P < .001). ICA demonstrated significantly increased DMN connectivity in the precuneus (x/y/z = -16/-64/38) in patients than in controls (P < .001). CBF was not elevated in the respective regions. DMN connectivity in the precuneus was significantly correlated with the Positive and Negative Syndrome Scale scores (P < .01). Conclusions: In schizophrenia patients, the posterior hub-which is considered the strongest part of the DMN-showed increased DMN connectivity. We hypothesize that this increase hinders the deactivation of the DMN and, thus, the translation of cognitive processes from an internal to an external focus. This might explain symptoms related to defective self-monitoring, such as auditory verbal hallucinations or ego disturbances.

Scheduling of continuous and discontinuous material flows with intermediate storage restrictions

This paper deals with scheduling batch (i.e., discontinuous), continuous, and semicontinuous production in process industries (e.g., chemical, pharmaceutical, or metal casting industries) where intermediate storage facilities and renewable resources (processing units and manpower) of limited capacity have to be observed. First, different storage configurations typical of process industries are discussed. Second, a basic scheduling problem covering the three above production modes is presented. Third, (exact and truncated) branch-and-bound methods for the basic scheduling problem and the special case of batch scheduling are proposed and subjected to an experimental performance analysis. The solution approach presented is flexible and in principle simple, and it can (approximately) solve relatively large problem instances with sufficient accuracy.

Scheduling the factory pick-up of new cars

Car manufacturers increasingly offer delivery programs for the factory pick-up of new cars. Such a program consists of a broad range of event-marketing activities. In this paper we investigate the problem of scheduling the delivery program activities of one day such that the sum of the customers’ waiting times is minimized. We show how to model this problem as a resource-constrained project scheduling problem with nonregular objective function, and we present a relaxation-based beam-search solution heuristic. The relaxations are solved by exploiting a duality relationship between temporal scheduling and min-cost network flow problems. This approach has been developed in cooperation with a German automaker. The performance of the heuristic has been evaluated based on practical and randomly generated test instances.

Scheduling the production of rolling ingots: Industrial context, model, and solution method

We study a real-world scheduling problem arising in the context of a rolling ingots production. First we review the production process and discuss peculiarities that have to be observed when scheduling a given set of production orders on the production facilities. We then show how to model this scheduling problem using prescribed time lags between operations, different kinds of resources, and sequence-dependent changeovers. A branch-and-bound solution procedure is presented in the second part. The basic principle is to relax the resource constraints by assuming infinite resource availability. Resulting resource conflicts are then stepwise resolved by introducing precedence relationships among operations competing for the same resources. The algorithm has been implemented as a beam search heuristic enumerating alternative sets of precedence relationships.

Advanced production scheduling for batch plants in process industries

An Advanced Planning System (APS) offers support at all planning levels along the supply chain while observing limited resources. We consider an APS for process industries (e.g. chemical and pharmaceutical industries) consisting of the modules network design (for long–term decisions), supply network planning (for medium–term decisions), and detailed production scheduling (for short–term decisions). For each module, we outline the decision problem, discuss the specifi cs of process industries, and review state–of–the–art solution approaches. For the module detailed production scheduling, a new solution approach is proposed in the case of batch production, which can solve much larger practical problems than the methods known thus far. The new approach decomposes detailed production scheduling for batch production into batching and batch scheduling. The batching problem converts the primary requirements for products into individual batches, where the work load is to be minimized. We formulate the batching problem as a nonlinear mixed–integer program and transform it into a linear mixed–binary program of moderate size, which can be solved by standard software. The batch scheduling problem allocates the batches to scarce resources such as processing units, workers, and intermediate storage facilities, where some regular objective function like the makespan is to be minimized. The batch scheduling problem is modelled as a resource–constrained project scheduling problem, which can be solved by an efficient truncated branch–and–bound algorithm developed recently. The performance of the new solution procedures for batching and batch scheduling is demonstrated by solving several instances of a case study from process industries.

Batch scheduling in process industries: an application of resource-constrained project scheduling

The paper deals with batch scheduling problems in process industries where final products arise from several successive chemical or physical transformations of raw materials using multi–purpose equipment. In batch production mode, the total requirements of intermediate and final products are partitioned into batches. The production start of a batch at a given level requires the availability of all input products. We consider the problem of scheduling the production of given batches such that the makespan is minimized. Constraints like minimum and maximum time lags between successive production levels, sequence–dependent facility setup times, finite intermediate storages, production breaks, and time–varying manpower contribute to the complexity of this problem. We propose a new solution approach using models and methods of resource–constrained project scheduling, which (approximately) solves problems of industrial size within a reasonable amount of time.