Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios

The fortune and the risk of a business venture depends on the future course of the economy. There is a strong demand for economic forecasts and scenarios that can be applied to planning and modeling. While there is an ongoing debate on modeling economic scenarios, the bootstrapping (or resampling) approach presented here has several advantages. As a non-parametric method, it directly relies on past market behaviors rather than debatable assumptions on models and parameters. Simultaneous dependencies between economic variables are automatically captured. Some aspects of the bootstrapping method require additional modeling: choice and ransformation of the economic variables, arbitrage-free consistency, heavy tails of distributions, serial dependence, trends and mean reversion. Results of a complete economic scenario generator are presented, tested and discussed.economic scenario generator (ESG); asset-liability management (ALM); bootstrapping; resampling; simulation; Monte-Carlo simulation; non-parametric model; yield curve model

Is the gamma risk of options insurable?

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small.Option; Insurance; Risk

Pitfalls in the diagnostic evaluation of subacute combined degeneration

We report a case of a 43-year-old man presenting with a 2-week history of painless ascending sensory disturbances, suspected to be suffering from acute inflammatory polyneuropathy. On clinical examination, deep tendon reflexes were preserved and muscle strength was 5/5 everywhere. Gait was ataxic with positive Romberg test. Lumbar puncture was normal and electroneurography demonstrated demyelination. With spinal cord involvement centred on the posterior tracts on MRI, differential diagnosis focused on cobalamin deficiency. Initial laboratory work up showed nearly normal holotranscobalamin (43 pmol/L, normal>50) suggesting no vitamin B12 deficiency. Surprisingly, further testing including methylmalonic acid (3732 nmol/L, normal<271) and homocysteine (48.5 µmol/L, normal<10) showed an impairment of vitamin B12-dependent metabolism leading to the diagnosis of subacute combined degeneration. Only after repeated history taking did the patient remember having taken tablets containing cobalamin for 3 days before hospitalisation. In case of B12 deficiency, holotranscobalamin can rapidly normalise during supplementation, whereas methylmalonic acid and homocysteine might help to detect B12 deficiency in patients who recently started supplementation

Angle- and spin-resolved photoelectron spectroscopy in the region of the 6s6p(2) autoionisation of Tl

Müller M, Böwering N, Svensson A, Heinzmann U. Angle- and spin-resolved photoelectron spectroscopy in the region of the 6s6p(2) autoionisation of Tl. Journal of Physics B: Atomic, Molecular and Optical Physics. 1990;23(13):2267S-2275S.An angle-, energy- and spin-resolved photoionisation experiment was performed in the region of the 6s6p(2)autoionisation resonances of thallium. Using monochromatic circularly polarised synchrotron radiation the energy dependence of the spin-polarisation parameters A, xi and alpha and the angular asymmetry parameter beta of the differential cross section were determined. In the wavelength region investigated these dynamical parameters show a pronounced variation which agrees well with the results of the random phase approximation with exchange' calculation by Cherepkov (1980). A detailed discussion of the resonance behaviour for the autoionising states is given in terms of dipole-matrix elements and phaseshift differences which are extracted from the experimental data

Intermediäre Schöpfungen. An den Rändern kreativen Prozessierens

Der Beitrag befasst sich mit den Überlegungen von Winnicott zu den Übergangsphänomenen. Ausgehend von der Erlebenswelt des Neugeborenen, das sich aus der Mutter-Kind-Einheit lösen muss, um sich als eigenes Subjekt entwickeln zu können, wird die Skizzierung des Übergangsraums weiterentwickelt und auf andere Erfahrungen wie die Entwicklung von Gedanken (Bion) oder den Übertritt in den Schlaf (Merleau-Ponty; Levinas; Waldenfels) übertragen. Die Geburt als Eintritt in das Leben spielt dabei sowohl als stets vorausliegende Phänomenalität wie auch als symbolische Grenzüberschreitung von der Vorzeit in eine Lebenszeit eine zentrale Rolle (Rank; Kaplan) und markiert einen Ausgangspunkt für die verschiedenen Aspekte des Verständnisses von Subjekt und Objekt. Schwellenerfahrungen machen nachträglich verständlich, dass Räume neu erschlossen werden können oder nachträglich als beengende Räume erlebt wurden. Die Erfahrungen an den Grenzen erschliessen Innen und Aussen und können als dynamisierende Prozesse beschrieben werden, die nachträglich frühere Horizonte als beschränkte Wahrnehmungs- und Reflexionswelten erkennbar werden lassen, während sie vorweg noch als «undenkbar» erschienen. Die Störung des eigenen Erfahrungsraums wird dabei als Aufgabe verstanden, Antworten auf krisenhaftes Erleben zu entwickeln und sich dazu auch einem Wagnis auszusetzen, sich durch die Schöpfung eines Übergangsraums selbst neuen Erwartungshorizonten zu überantworten. Damit ist stets auch die Bearbeitung von ängstigenden Beschränkungen verbunden

Distribution and frequency of VKORC1 sequence variants conferring resistance to anticoagulants in Mus musculus

Pelz, H.-J., Rost, S., Müller, E., Esther, A., Ulrich, R.G., Müller, C.R

Atmospheric ice nuclei in the Eyjafjallajökull volcanic ash plume

We have sampled atmospheric ice nuclei (IN) and aerosol in Germany and in Israel during spring 2010. IN were analyzed by the static vapor diffusion chamber FRIDGE, as well as by electron microscopy. During the Eyjafjallajökull volcanic eruption of April 2010 we have measured the highest ice nucleus number concentrations (>600 l−1) in our record of 2 yr of daily IN measurements in central Germany. Even in Israel, located about 5000 km away from Iceland, IN were as high as otherwise only during desert dust storms. The fraction of aerosol activated as ice nuclei at −18 °C and 119% rhice and the corresponding area density of ice-active sites per aerosol surface were considerably higher than what we observed during an intense outbreak of Saharan dust over Europe in May 2008. Pure volcanic ash accounts for at least 53–68% of the 239 individual ice nucleating particles that we collected in aerosol samples from the event and analyzed by electron microscopy. Volcanic ash samples that had been collected close to the eruption site were aerosolized in the laboratory and measured by FRIDGE. Our analysis confirms the relatively poor ice nucleating efficiency (at −18 °C and 119% ice-saturation) of such "fresh" volcanic ash, as it had recently been found by other workers. We find that both the fraction of the aerosol that is active as ice nuclei as well as the density of ice-active sites on the aerosol surface are three orders of magnitude larger in the samples collected from ambient air during the volcanic peaks than in the aerosolized samples from the ash collected close to the eruption site. From this we conclude that the ice-nucleating properties of volcanic ash may be altered substantially by aging and processing during long-range transport in the atmosphere, and that global volcanism deserves further attention as a potential source of atmospheric ice nuclei

An experiment for the measurement of the bound-beta decay of the free neutron

The hyperfine-state population of hydrogen after the bound-beta decay of the neutron directly yields the neutrino left-handedness or a possible right-handed admixture and possible small scalar and tensor contributions to the weak force. Using the through-going beam tube of a high-flux reactor, a background free hydrogen rate of ca. 3 s$^{-1}$ can be obtained. The detection of the neutral hydrogen atoms and the analysis of the hyperfine states is accomplished by Lamb shift source type quenching and subsequent ionization. The constraints on the neutrino helicity and the scalar and tensor coupling constants of weak interaction can be improved by a factor of ten.Comment: 9 pages, 5 figures. Submitted to EPJ

In-vitro assessment of coronary artery stents in 256-multislice computed tomography angiography

BACKGROUND: The important detection of in-stent restenosis in cardiovascular computed tomography (CT) is still challenging. The first study assessing the in-vitro stent lumen visualization of the state of the art 256-multislice CT (256-MSCT), which was performed by our research group, yielded promising results. As the applied technical approach is not suitable for daily routine, we assessed the capability of the 256-MSCT and its different reconstruction kernels for the coronary stent lumen visualization employing a clinically applicable technique in a phantom study. RESULTS: The XCD kernel showed significantly lower artificial lumen narrowing (ALN) values (overall ALN < 40%) than the other reconstruction kernels (CC, CD, XCB) irrespective of the stent caliber. The ALN of coronary stents with a diameter >3 mm was significantly lower than of stents with a smaller caliber. The ALN difference between stents with a diameter of 3 mm and smaller ones was not statistically significant. Yet, the lumen visualization of the smaller stents was impaired by a halo effect. The XCD kernel showed more constant attenuation values throughout the different stent diameters than the other reconstruction kernels. CONCLUSIONS: The 256-MSCT provides a good lumen visualization of coronary stents with a diameter >3 mm. The assessment of stents with a diameter of 3 mm seems feasible but has to be validated in further studies. The clinical evaluation of smaller stents cannot be recommended so far. The XCD kernel showed the best lumen visualization and should therefore be applied in addition to the standard cardiac reconstruction kernels when assessing coronary artery stents using 256-MSCT