Results 21 to 30 of about 129,079 (132)

Proof of non-convergence of the short-maturity expansion for the SABR model [PDF]

Quantitative finance (Print), 2021
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ( ) SABR model. In this model, the option time-value can be represented as an integral of the form with a ‘payoff function’ which is given
Alan L. Lewis, D. Pirjol
semanticscholar   +1 more source

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model [PDF]

International Journal of Theoretical and Applied Finance, 2023
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price.
E. Alòs, E. Nualart, Makar Pravosud
semanticscholar   +1 more source

A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models

Risks, 2020
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann   +2 more
doaj   +1 more source

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