Results 51 to 60 of about 1,126,168 (149)
Pricing Average Options on Commodities [PDF]
This paper proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended -SABR stochastic volatility models ...
Akihiko Takahashi, Kenichiro Shiraya
core +3 more sources
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates
Journal of Futures Markets, Volume 44, Issue 6, Page 936-985, June 2024.Abstract The Secured Overnight Funding Rate (SOFR) has become the risk‐free rate benchmark in US dollars, thus term structure models should reflect key features exhibited by SOFR and forward rates implied by SOFR futures. We construct a multifactor, stochastic volatility term structure model which incorporates these features.
Alan Brace, Karol Gellert, Erik Schlögl
wiley +1 more source
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion [PDF]
, 2016 We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model. For this we use the Bellaiche \cite{Bel81} heat kernel expansion combined with Laplace's method to integrate over the volatility
Armstrong, John +3 more
core +2 more sources
Assessing the sensitivity and suitability of a range of detectors for SIMT PSQA
Journal of Applied Clinical Medical Physics, Volume 25, Issue 5, May 2024.Abstract Purpose Single‐isocenter multi‐target intracranial stereotactic radiotherapy (SIMT) is an effective treatment for brain metastases with complex treatment plans and delivery optimization necessitating rigorous quality assurance. This work aims to assess five methods for quality assurance of SIMT treatment plans in terms of their suitability and
Leon Dunn +4 more
wiley +1 more source
Journal of Applied Clinical Medical Physics, Volume 25, Issue 2, February 2024.Abstract Purpose To assess the feasibility of using the diaphragm as a surrogate for liver targets during MDTT. Methods Diaphragm as surrogate for markers: a dome‐shaped phantom with implanted markers was fabricated and underwent dual‐orthogonal fluoroscopy sequences on the Vero4DRT linac. Ten patients participated in an IRB‐approved, feasibility study
Maryam Rostamzadeh +9 more
wiley +1 more source
, 2021 Research and Practice in Thrombosis and Haemostasis, Volume 5, Issue S2, October 2021.
wiley +1 more source
Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation
Journal of Management Science and Engineering, 2017 The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the
Nian Yang, Yanchu Liu, Zhenyu Cui
doaj
Interpolation of Missing Swaption Volatility Data using Gibbs Sampling on Variational Autoencoders [PDF]
arXiv, 2022 Albeit of crucial interest for both financial practitioners and researchers, market-implied volatility data of European swaptions often exhibit large portions of missing quotes due to illiquidity of the various underlying swaption instruments. In this case, standard stochastic interpolation tools like the common SABR model often cannot be calibrated to
arxiv
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance, Volume 34, Issue 1, Page 151-189, January 2024.Abstract Overnight rates, such as the Secured Overnight Financing Rate (SOFR) in the United States, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at predetermined dates due to monetary policy interventions and liquidity constraints.
Claudio Fontana +2 more
wiley +1 more source
, 2021 Journal of Medical Radiation Sciences, Volume 68, Issue S1, Page 3-79, June 2021.
wiley +1 more source