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Models of Cox’s Proportional Hazards
Mathematica Applicanda, 2011The paper presents Cox proportional hazards model, its properties and methods of its parameters estimation. It is widely applicable in survival analysis – in prediction of survival chances of some objects (usually patients in medical studies). The essential advantage of the model is allowing of incomplete data, which often appear in studies – both in ...
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The Cox-Ross-Rubinstein Model [PDF]
, 2004 In this chapter, we discuss a specific discrete-time model known as the Cox-Ross-Rubinstein model because it was first described by these gentlemen in 1979. We will abbreviate Cox-Ross-Rubinstein by CRR. The CRR model is also referred to in the literature as the binomial model for reasons that will become apparent as we proceed.
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1997
A European call option written on one share of a stock S, which pays no dividends during the option’s lifetime, is formally equivalent to the claim X whose payoff at time T is contingent on the stock price S T , and equals $$ X = {({S_T} - K)^ + }\mathop {{\text{ }} = }\limits^{def} \max \{ {S_T} - {\mkern 1mu} K,0\} . $$ (2.1)
Marek Musiela, Marek Rutkowski
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A European call option written on one share of a stock S, which pays no dividends during the option’s lifetime, is formally equivalent to the claim X whose payoff at time T is contingent on the stock price S T , and equals $$ X = {({S_T} - K)^ + }\mathop {{\text{ }} = }\limits^{def} \max \{ {S_T} - {\mkern 1mu} K,0\} . $$ (2.1)
Marek Musiela, Marek Rutkowski
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2017
Wir betrachten nun ein einfaches Finanzmarktmodell in diskreter Zeit. In diesem Modell werden wir viele wichtige Ergebnisse zur Bewertung von Derivaten herleiten, die auch in viel allgemeineren Markten gelten. Es handelt sich um das grundlegende Binomialmodell von Cox, Ross und Rubinstein. Neben dem obligatorischen risikolosen Wertpapier gibt es im Cox-
Ulrich Rieder, Nicole Bäuerle
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Wir betrachten nun ein einfaches Finanzmarktmodell in diskreter Zeit. In diesem Modell werden wir viele wichtige Ergebnisse zur Bewertung von Derivaten herleiten, die auch in viel allgemeineren Markten gelten. Es handelt sich um das grundlegende Binomialmodell von Cox, Ross und Rubinstein. Neben dem obligatorischen risikolosen Wertpapier gibt es im Cox-
Ulrich Rieder, Nicole Bäuerle
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Antibody–drug conjugates: Smart chemotherapy delivery across tumor histologies
Ca-A Cancer Journal for Clinicians, 2022Paolo Tarantino +2 more
exaly
2019
The investigation of the affine term structure of interest rates started in Chap. 3 continues with the use of yield curves and forward curves in the case when the Cox–Ingersoll–Ross model is used. Not only single-factor, but multifactor models are analyzed.
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The investigation of the affine term structure of interest rates started in Chap. 3 continues with the use of yield curves and forward curves in the case when the Cox–Ingersoll–Ross model is used. Not only single-factor, but multifactor models are analyzed.
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Simpson’s Paradox for the Cox Model [PDF]
, 2007 In the context of survival analysis, we define a covariate X as protective (detrimental) for the failure time T if the conditional distribution of [T | X = x] is stochastically increasing (decreasing) as a function of x. In the presence of another covariate Y, there exist situations where [T | X = x, Y = y] is stochastically decreasing in x for each ...
Clelia Di Serio +2 more
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