Hedging with temporary price impact

We consider the problem of hedging a European contingent claim in a Bachelier model with temporary price impact as proposed by Almgren and Chriss (J Risk 3:5–39, 2001). Following the approach of Rogers and Singh (Math Financ 20:597–615, 2010) and Naujokat and Westray (Math Financ Econ 4(4):299–335, 2011), the hedging problem can be regarded as a cost optimal tracking problem of the frictionless hedging strategy. We solve this problem explicitly for general predictable target hedging strategies. It turns out that, rather than towards the current target position, the optimal policy trades towards a weighted average of expected future target positions. This generalizes an observation of Gârleanu and Pedersen (Dynamic portfolio choice with frictions. Preprint, 2013b) from their homogenous Markovian optimal investment problem to a general hedging problem. Our findings complement a number of previous studies in the literature on optimal strategies in illiquid markets as, e.g., Gârleanu and Pedersen (Dynamic portfolio choice with frictions. Preprint, 2013b), Naujokat and Westray (Math Financ Econ 4(4):299–335, 2011), Rogers and Singh (Math Financ 20:597–615, 2010), Almgren and Li (Option hedging with smooth market impact. Preprint, 2015), Moreau et al. (Math Financ. doi: 10.1111/mafi.12098, 2015), Kallsen and Muhle-Karbe (High-resilience limits of block-shaped order books. Preprint, 2014), Guasoni and Weber (Mathematical Financ. doi: 10.1111/mafi.12099, 2015a; Nonlinear price impact and portfolio choice. Preprint, 2015b), where the frictionless hedging strategy is confined to diffusions. The consideration of general predictable reference strategies is made possible by the use of a convex analysis approach instead of the more common dynamic programming methods.     

Inelastic mean free paths for electrons in bulk jellium

Bulk inelastic mean free paths, λ, of electrons in jellium are given in graphical form as a function of the electron spacing parameter r_s and the electron energy E, based on self-energy results of Lundqvist. The results are suggested as a useful guide to the dependence of λ on the material in the energy range near the minimum of λ.     

An efficient implementation for SSOR and incomplete factorization preconditionings

We investigate methods for efficiently implementing a class of incomplete factorization preconditioners which includes Symmetric Gauss Seidel [9]. SSOR [9], generalized SSOR [1]. Dupont Kendall Rachford [4]. ICCG(0) [7], and MICCG(0) [6]. Our techniques can be extended to similar methods for nonsymmetric matrices.     

Global approximate Newton methods

Summary We derive a class of globally and quadratically converging algorithms for a system of nonlinear equations,g(u)=0, whereg is a sufficiently smooth homeomorphism. Particular attention is directed to key parameters which control the iteration. Several examples are given that have been successful in solving the coupled nonlinear PDEs which arise in semiconductor device modelling.     

Electrophoretic characterization of posttranslational modifications of human parotid salivary alpha-amylase.

Human salivary alpha-amylase displays multiple bands upon native polyacrylamide gel electrophoresis. In fresh saliva, due to posttranslational modifications, a pattern of 5-6 isozymes is observed. The isozymes are designated 1-6, in the order of increasing anodal mobility. As a result of the development of a rapid and sensitive electrophoresis system, with markedly higher resolution than previously reported, we concluded that a previously proposed model (Karn et al., Biochem. Genet. 1973, 10, 341-350) is inadequate to explain the origin of the various bands. We propose an alternative model that fits in with our new and previously made observations. According to this model, band 2 is the primary gene product and band 1 is its glycosylated counterpart--with only one neutral oligosaccharide present on each molecule. Band 3 originates from band 1 by the transialidase-catalyzed incorporation of sialic acid into the biantennary chain. Bands 4 and 6 originate from bands 2 and 4, respectively, by deamidation; band 5 is the deamidation product of amylase with an acidic oligosaccharide (band 3). Only a minor part of band 3 consists of the deamidation product of band 1. Peptide Asn-Gly-Ser (residues 427-429) is the most probable candidate for glycosylation; literature data suggests that deamidation occurs in the stretch Glu-Asn-Gly-Lys-Asp (residues 364-368) and Asn-Gly-Asn-Cys (residues 474-477). Both glycosylation and deamidation might play a role in the clearance of amylase from the systemic circulation. The electrophoresis system described is a powerful tool to determine amylase isozyme distributions in health and disease, especially for the screening of alterations seen in ectopically produced amylase.     

The alternate-block-factorization procedure for systems of partial differential equations

The alternate-block-factorization (ABF) method is a procedure for partially decoupling systems of elliptic partial differential equations by means of a carefully chosen change of variables. By decoupling we mean that the ABF strategy attempts to reduce intra-equation coupling in the system rather than intra-grid coupling for a single elliptic equation in the system. This has the effect of speeding convergence of commonly used iteration schemes, which use the solution of a sequence of linear elliptic PDEs as their main computational step. Algebraically, the change of variables is equivalent to a postconditioning of the original system. The results of using ABF postconditioning on some problems arising from semiconductor device simulation are discussed.The work of R. E. Bank was supported in part by the Office of Naval Research under contract N00014-82K-0197. The work of T. F. Chan was supported in part by the National Science Foundation under grant NSF-DMS87-14612 and by the Army Research Office under contract DAAL03-88-K-0085.     

Hydrostatic pressure effects on the superconducting properties of Ag1−xSn1+xSe2

The superconducting transition temperature, T_c, of NaCl structure compounds in the series Ag_1?xSn_1+xSe₂ is found to be exceptionally sensitive to hydrostatic pressures up to 21 kbar. For five samples of varying composition, T_c is suppressed smoothly at a rate of ?(6?8)×10^?5K·bar^?1. These results are discussed with respect to the volume sensitivity of the electron-phonon interaction responsible for superconductivity.