Results 11 to 20 of about 1,033 (104)

Mass at zero in the uncorrelated SABR model and implied volatility asymptotics [PDF]

Quantitative Finance, 2018
15 pages, 2 tables, 8 figures This updated version concentrates on the small- and large-time asymptotic behaviour of the mass at zero in the uncorrelated SABR model. Some geometric considerations regarding the correlated case are provided in a companion paper arXiv:1610 ...
Gulisashvili, A, Horvath, B, Jacquier, A
openaire   +8 more sources

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs

Mathematics and Computers in Simulation, 2013
For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This calibration has been performed for EURO STOXX 50 index and EUR/USD exchange rate with an asymptotic formula for ...
López-Salas, José Germán, José Luís, Fernández Pérez, Ferreiro Ferreiro, Ana María, García Rodríguez, José Antonio, Álvaro, Leitao-Rodríguez, Vázquez, Carlos   +5 more
openaire   +6 more sources

Stereotactic ablative radiotherapy before resection to avoid delay for early‐stage lung cancer or oligometastases during the COVID‐19 pandemic: Pathologic outcomes from the SABR‐BRIDGE protocol

Cancer, Volume 129, Issue 18, Page 2798-2807, 15 September 2023., 2023
Abstract Background During coronavirus disease 2019 (COVID‐19)–related operating room closures, some multidisciplinary thoracic oncology teams adopted a paradigm of stereotactic ablative radiotherapy (SABR) as a bridge to surgery, an approach called SABR‐BRIDGE. This study presents the preliminary surgical and pathological results.
Biniam Kidane, Ian J. Gerard, Jonathan Spicer, Julian O. Kim, Pierre O. Fiset, Paul Wawryko, Matthew J. Cecchini, Richard Inculet, Bassam Abdulkarim, Dalilah Fortin, Mehdi Qiabi, Gefei Qing, Stephanie Enns, Bashir Bashir, James Tankel, Elliot Wakeam, Andrew Warner, Neil Kopek, Brian P. Yaremko, George B. Rodrigues, Joanna M. Laba, Melody Qu, Richard A. Malthaner, David A. Palma   +23 more
wiley   +1 more source

Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method

Journal of Futures Markets, Volume 43, Issue 7, Page 925-950, July 2023., 2023
Abstract The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte‐Carlo simulations. Specifically, the price dynamics of an underlying risky asset are governed by a continuous‐time hidden Markov‐modulated local‐volatility model ...
Robert J. Elliott, Tak Kuen Siu
wiley   +1 more source

Clinical evidence for synergy between immunotherapy and radiotherapy (SITAR)

Journal of Medical Imaging and Radiation Oncology, Volume 66, Issue 6, Page 881-895, September 2022., 2022
Summary Previous preclinical and clinical trials have shown promising antitumour activity and toxicity profile when employing the ‘Synergy between Immunotherapy and Radiotherapy’ (SITAR) strategy. Approximately, one in seven radiation therapy studies currently recruiting is investigating SITAR. This article reviews the range of cancers known to respond
Suki Gill, Anna K Nowak, Samantha Bowyer, Raelene Endersby, Martin A Ebert, Alistair Cook   +5 more
wiley   +1 more source

The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes

Applied Stochastic Models in Business and Industry, Volume 38, Issue 3, Page 497-511, May/June 2022., 2022
Abstract We study the sensitivity of the leverage effect to changes of the volatility and the price, showing the existence of an analytical link between the latter and the price‐leverage covariation in settings with, respectively, stochastic and level‐dependent volatility.
Giacomo Toscano
wiley   +1 more source

Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies

Complexity, Volume 2022, Issue 1, 2022., 2022
The U.S. stock market is one of the largest and most complex marketplaces in the global financial system. Over the past several decades, this market has evolved at multiple structural and temporal scales. New exchanges became active, and others stopped trading, regulations have been introduced and adapted, and technological innovations have pushed the ...
Colin M. Van Oort, IV John Henry Ring, David Rushing Dewhurst, Christopher M. Danforth, Brian F. Tivnan, Paulo Jorge Silveira Ferreira   +5 more
wiley   +1 more source

On the consistency of jump-diffusion dynamics for FX rates under inversion [PDF]

, 2019
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type
Brigo, Damiano, Graceffa, Federico, Pallavicini, Andrea   +2 more
core   +2 more sources

The promises and challenges of early non‐small cell lung cancer detection: patient perceptions, low‐dose CT screening, bronchoscopy and biomarkers

Molecular Oncology, Volume 15, Issue 10, Page 2544-2564, October 2021., 2021
Image depicting all tumour‐derived components that can be detected in blood. Produced using BioRender. Lung cancer survival statistics are sobering with survival ranking among the poorest of all cancers despite the addition of targeted therapies and immunotherapies. However, improvements in tools for early detection hold promise. The Nederlands–Leuvens
Lukas Kalinke, Ricky Thakrar, Sam M. Janes   +2 more
wiley   +1 more source

Arbitrage-free prediction of the implied volatility smile [PDF]

, 2014
This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros, Mijatović, Aleksandar   +1 more
core   +2 more sources