Results 11 to 20 of about 5,641 (227)

A rough SABR formula [PDF]

arXiv, 2021
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the rough Bergomi model. We solve this ODE numerically and further present a very accurate approximation to
Jim Gatheral, Masaaki Fukasawa
arxiv   +6 more sources

Bartlett's delta in the SABR model [PDF]

arXiv, 2017
We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation made in [2] that the modified delta ("Bartlett's delta") introduced there provides a more accurate and robust hedging strategy than the conventional SABR delta hedge.
Andrew Lesniewski, Patrick S. Hagan
arxiv   +6 more sources

SABR smiles for RFR caplets [PDF]

arXiv, 2020
We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets can be priced using the market standard approximations of Hagan et al. (2002). We provide closed-form effective SABR parameters for pricing backward-looking RFR caplets.
arxiv   +4 more sources

A Stochastic Volatility Alternative to SABR [PDF]

Journal of Applied Probability, 2008
We present two new stochastic volatility models in which option prices for European plain-vanilla options have closed-form expressions. The models are motivated by the well-known SABR model, but use modified dynamics of the underlying asset. The asset process is modelled as a product of functions of two independent stochastic processes: a Cox-Ingersoll-
L. C. G. Rogers, Luitgard Anna Maria Veraart   +1 more
openalex   +3 more sources

National Survey of Real-World Australian Treatment Patterns for Patients With Very-Early-To Intermediate-Stage Hepatocellular Carcinoma. [PDF]

Cancer Med
ABSTRACT Background/Purpose of the Study The treatment landscape for very early to intermediate stage hepatocellular carcinoma (HCC) is rapidly evolving, with new data and treatments emerging in recent years. There is a lack of data on current patterns of management for very early to intermediate stage HCC in Australian clinical practice and the role ...
Roberts SK, Majeed A, Rasaratnam K, Olynyk JK, Shackel N, Wood M, Strasser SI, Wigg A.   +7 more
europepmc   +2 more sources

Efficacy of a thermoplastic mask and pneumatic abdominal compression device for immobilization in stereotactic ablative radiotherapy of spine metastases. [PDF]

J Appl Clin Med Phys
Abstract Stereotactic ablative radiotherapy (SABR) has become a key technique in management of spine metastases. With improved control over treatment plan dosimetry, there is a greater need for accurate patient positioning to guarantee agreement between the treatment plan and delivered dose.
Walter YA, Speir DB, Burrell WE, Wang CJ, Wu HT.   +4 more
europepmc   +2 more sources

The SABRE project and the SABRE Proof-of-Principle [PDF]

The European Physical Journal C, 2019
SABRE aims to directly measure the annual modulation of the dark matter interaction rate with NaI(Tl) crystals. A modulation compatible with the standard hypothesis, in which our Galaxy is immersed in a dark matter halo, has been measured by the DAMA experiment in the same target material.
L. Pietrofaccia, Phillip Urquijo, S. Krishnan, Eric W. Hoppe, Francesco Nuti, M. Antonello, Andrea Mariani, Michael Souza, F. Froborg, N. Rossi, C. Tomei, Marcella Diemoz, I. Bolognino, Shahram Rahatlou, I. Dafinei, Gregory Lane, W. Dix, M. Wada, Andrew Stuchbery, A. Di Ludovico, L. Ioannucci, T. Baroncelli, Giulia D'imperio, Jay Burton Benziger, B. Suerfu, Alan R. Duffy, Alan R. Duffy, Mark W. Paris, I. Mahmood, Adam Sarbutt, Lindsey J. Bignell, Jingke Xu, C. Vignoli, Jeremy Mould, Jeremy Mould, G. K. Giovanetti, Anton Wallner, E. L. Barberio, V. Toso, Frank Calaprice, P. Montini, E. Shields, An. Ianni, G. Di Carlo, D. D'Angelo, Anthony G. Williams, D. Prokopovic, D. Orlandi, V. Pettinacci, S. Copello, M. Mastrodicasa   +50 more
openaire   +9 more sources

Analisi e progettazione di un sistema di misure quantitative per il monitoraggio dei rischi finanziari delle Garanzie d’Origine [PDF]

Risk Management Magazine, 2019
The aim of this work focuses on the risks arising from the emerging market of Guarantees of Origin (GO). In recent years, in fact, traded volumes of these electronic certifications have increased, although the markets are yet incomplete and not very ...
Anna Bottasso
doaj   +1 more source

Extension of SABR Libor Market Model to handle negative interest rates

Quantitative Finance and Economics, 2020
Variations of Libor Market Model (LMM), including Constant Elasticity of Variance-LMM (CEV-LMM) and Stochastic Alpha-Beta-Rho LMM (SABR-LMM), have become popular for modeling interest rate term structure.
Jie Xiong, Geng Deng, Xindong Wang
doaj   +1 more source

Cost-Effectiveness Analysis of Stereotactic Ablative Body Radiotherapy for the Treatment of Oligometastatic Tumors versus Standard of Care

Current Oncology, 2021
Background: Recent clinical trial results reported that stereotactic radiotherapy (SABR) may improve survival for patients with oligometastatic (OM) cancer. Given that these results come from a phase II trial, there remains considerable uncertainty about
Adam J. N. Raymakers, David Cameron, Scott Tyldesley, Dean A. Regier   +3 more
doaj   +1 more source