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In the literature, there are at least two equivalent two-factor Gaussian models for the instantaneous short rate. These are the original two-factor Hull White model (see [3]) and the G2++ one by Brigo and Mercurio (see [1]). Both these models first specify a time homogeneous two-factor short rate dynamics and then by adding a deterministic shift function '(·) fit exactly the initial term structure of interest rates. However, the obtained results are rather clumsy and not intuitive which means that a special care has to be taken for their correct numerical implementation.

The rotational spinning of viscous jets is of interest in many industrial applications, including pellet manufacturing [4, 14, 19, 20] and drawing, tapering and spinning of glass and polymer fibers [8, 12, 13], see also [15, 21] and references within. In [12] an asymptotic model for the dynamics of curved viscous inertial fiber jets emerging from a rotating orifice under surface tension and gravity was deduced from the three-dimensional free boundary value problem given by the incompressible Navier-Stokes equations for a Newtonian fluid. In the terminology of [1], it is a string model consisting of balance equations for mass and linear momentum. Accounting for inner viscous transport, surface tension and placing no restrictions on either the motion or the shape of the jet’s center-line, it generalizes the previously developed string models for straight [3, 5, 6] and curved center-lines [4, 13, 19]. Moreover, the numerical results investigating the effects of viscosity, surface tension, gravity and rotation on the jet behavior coincide well with the experiments of Wong et.al. [20].

For the numerical simulation of a mechanical multibody system (MBS), dynamical loads are needed as input data, such as a road profile. With given input quantities, the equations of motion of the system can be integrated. Output quantities for further investigations are calculated from the integration results. In this paper, we consider the corresponding inverse problem: We assume, that a dynamical system and some reference output signals are given. The general task is to derive an input signal, such that the system simulation produces the desired reference output. We present the state-of-the-art method in industrial applications, the iterative learning control method (ILC) and give an application example from automotive industry. Then, we discuss three alternative methods based on optimal control theory for differential algebraic equations (DAEs) and give an overview of their general scheme.

The capacitated single-allocation hub location problem revisited: A note on a classical formulation
(2009)

Denote by G = (N;A) a complete graph where N is the set of nodes and A is the set of edges. Assume that a °ow wij should be sent from each node i to each node j (i; j 2 N). One possibility is to send these °ows directly between the corresponding pairs of nodes. However, in practice this is often neither e±cient nor costly attractive because it would imply that a link was built between each pair of nodes. An alternative is to select some nodes to become hubs and use them as consolidation and redistribution points that altogether process more e±ciently the flow in the network. Accordingly, hubs are nodes in the graph that receive tra±c (mail, phone calls, passengers, etc) from di®erent origins (nodes) and redirect this tra±c directly to the destination nodes (when a link exists) or else to other hubs. The concentration of tra±c in the hubs and its shipment to other hubs lead to a natural decrease in the overall cost due to economies of scale.

In this paper, an extension to the classical capacitated single-allocation hub location problem is studied in which the size of the hubs is part of the decision making process. For each potential hub a set of capacities is assumed to be available among which one can be chosen. Several formulations are proposed for the problem, which are compared in terms of the bound provided by the linear programming relaxation. Di®erent sets of inequalities are proposed to enhance the models. Several preprocessing tests are also presented with the goal of reducing the size of the models for each particular instance. The results of the computational experiments performed using the proposed models are reported.

In this work we use the Parsimonious Multi–Asset Heston model recently developed in [Dimitroff et al., 2009] at Fraunhofer ITWM, Department Financial Mathematics, Kaiserslautern (Germany) and apply it to Quanto options. We give a summary of the model and its calibration scheme. A suitable transformation of the Quanto option payoff is explained and used to price Quantos within the new framework. Simulated prices are given and compared to market prices and Black–Scholes prices. We find that the new approach underprices the chosen options, but gives better results than the Black–Scholes approach, which is prevailing in the literature on Quanto options.

Safety and reliability requirements on the one side and short development cycles, low costs and lightweight design on the other side are two competing aspects of truck engineering. For safety critical components essentially no failures can be tolerated within the target mileage of a truck. For other components the goals are to stay below certain predefined failure rates. Reducing weight or cost of structures often also reduces strength and reliability. The requirements on the strength, however, strongly depend on the loads in actual customer usage. Without sufficient knowledge of these loads one needs large safety factors, limiting possible weight or cost reduction potentials. There are a lot of different quantities influencing the loads acting on the vehicle in actual usage. These ‘influencing quantities’ are, for example, the road quality, the driver, traffic conditions, the mission (long haulage, distribution or construction site), and the geographic region. Thus there is a need for statistical methods to model the load distribution with all its variability, which in turn can be used for the derivation of testing specifications.

Inspired by Kirchhoff’s kinetic analogy, the special Cosserat theory of rods is formulatedin the language of Lagrangian mechanics. A static rod corresponds to an abstract Lagrangian system where the energy density takes the role of the Lagrangian function. The equilibrium equations are derived from a variational principle. Noether’s theorem relates their first integrals to frame-indifference, isotropy and uniformity. These properties can be formulated in terms of Lie group symmetries. The rotational degrees of freedom, present in the geometrically exact beam theory, are represented in terms of orthonormal director triads. To reduce the number of unknowns, Lagrange multipliers associated with the orthonormality constraints are eliminated using null-space matrices. This is done both in the continuous and in the discrete setting. The discrete equilibrium equations are used to compute discrete rod configurations, where different types of boundary conditions can be handled.

Territory design and districting may be viewed as the problem of grouping small geographic areas into larger geographic clusters called territories in such a way that the latter are acceptable according to relevant planning criteria. The availability of GIS on computers and the growing interest in Geo-Marketing leads to an increasing importance of this area. Despite the wide range of applications for territory design problems, when taking a closer look at the models proposed in the literature, a lot of similarities can be noticed. Indeed, the models are many times very similar and can often be, more or less directly, carried over to other applications. Therefore, our aim is to provide a generic application-independent model and present efficient solution techniques. We introduce a basic model that covers aspects common to most applications. Moreover, we present a method for solving the general model which is based on ideas from the field of computational geometry. Theoretical as well as computational results underlining the efficiency of the new approach will be given. Finally, we show how to extend the model and solution algorithm to make it applicable for a broader range of applications and how to integrate the presented techniques into a GIS.