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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 +2 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 +2 more
core +2 more sources
A Stochastic Volatility LIBOR Market Model with a Closed Form Solution [PDF]
, 2008 Since its initial publication the SABR model has gained widespread use across asset classes and it has now become the standard pricing framework used in the market to quote interest rate products sensitive to the non flat strike-structure of the market
Nada, Hazim, Nada, Hazim
core +1 more source
Hyperbolic Normal Stochastic Volatility Model [PDF]
Journal of futures markets, 2018 For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model.
Jaehyuk Choi, Chenru Liu, Byoung Ki Seo
semanticscholar +1 more source
On asymptotically arbitrage-free approximations of the implied volatility [PDF]
arXiv, 2022 Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arbitrage-free approximations of the implied volatility under, respectively, the local volatility model, the SABR model, and the rough SABR model.
arxiv
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
arxiv
Swaption pricing with SABR model [PDF]
, 2020 The purpose of this Master’s thesis is to present the SABR and shifted SABR models and perform a calibration procedure on the Euribor and Libor swaptions’ volatility cube.
Danielyan, Karen
core
On the probability of hitting the boundary for Brownian motions on the SABR plane [PDF]
, 2016 Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models–related to the SABR model in mathematical finance–which can be obtained by geometry-preserving transformations, and show how to ...
Gulisashvili, AG +2 more
core +4 more sources
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 +1 more
core +2 more sources
Sabr Type Stochastic Volatility Operator in Hilbert Space
Social Science Research Network, 2020 In this paper, we define stochastic volatility operators in Hilbert space which are analogs to the widely-used SABR model [14] in finite dimensional case. We show the existence of the mild solution and some related regularity properties.
R. Douady, Zeyu Cao
semanticscholar +1 more source