Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"SABR"”.
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Is SABR cost-effective in oligometastatic cancer? An economic analysis of SABR-COMET randomized trial
The phase II randomized study SABR-COMET demonstrated that in cancer patients with 1-5 oligometastatic lesions, stereotactic ablative radiotherapy (SABR) was associated with an improvement in both progression-free survival and overall survival compared to standard of care (SoC). SABR, however, is …
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Analytical Solutions of the SABR Stochastic Volatility Model
… with stochastic volatility, particulary the SABR model, became the new market standard in fixed income option market. This is the starting point of this thesis. However, being the market standard also poses new challenges, which are speed and accuracy. Three mathematical aspects of the model …
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Application of Effective Markovian Projection to SABR and Heston Models
… Heston model parameters from a range of SABR models with different skew parameters using two distinct point-matching algorithms. The implied parameters are used to price European claims under a variety of schemes in order to outline the efficacy in this context. We see that this technique …
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A survey and implementation of some calibration algorithms for the SABR and Heston models
… and implements some calibration methods for the SABR and Heston models. Hagan (2002) examined the effect of the SABR parameters on the skew in order to determine which parameters may be redundant. Hagan andWest (2005) found that by fixing one of the parameters in the SABR model, the remaining …
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A full asymptotic series of European call option prices in the SABR model with beta=1
… two pricing formulae for European options in the SABR model with beta= 1 case by means of Malliavin Calculus. We follow the approach of Alòs et al (2006) who showed that under stochastic volatility framework, the option prices can be written as the sum of the classic Hull-White (1987) term and a …
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Ai-Enabled Online Plan Adaptation For Mr-Guided Stereotactic Ablative Radiotherapy (Sabr) of Head and Neck Cancer
… worldwide. Stereotactic ablative radiotherapy (SABR) has emerged as an effective treatment for HNC, delivering highly conformal doses to the tumor target while sparing surrounding normal tissues with a sharp dose gradient. However, the accuracy of the treatment delivery is limited by setup …
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Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
Stochastic Alpha, Beta, Rho (SABR) and Heston Volatility models have been used in the financial industry due to their ability to price options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, …
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Pre-operative ablative radiotherapy in combination with immunotherapy and novel agents in pancreatic cancer
… of stereotactic ablative body radiotherapy (SABR) to modulate the pancreatic cancer TME through pre-clinical studies and a window of opportunity clinical study with a view to developing combinations of SABR and immunotherapy for clinical translation. A pre-clinical radiotherapy platform was …
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Analyzing the Effect of Neoadjuvant Stereotactic Ablative Body Radiotherapy on Pancreatic Tumour Perfusion Using Computed Tomography Perfusion
… as stereotactic ablative body radiotherapy (SABR), which can deliver intense doses of radiation for tumour ablation in just 3-5 fractions, with high precision leveraged by the guidance of an integrated imaging system, such as computed tomography (CT). As of now, however, there is a lack of …
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Local Stochastic Volatility—The Hyp-Hyp Model
… models such as the stochastic alpha, beta, rho (SABR) and constant elasticity of variance (CEV) models. The advantageous features of the Hyp-Hyp model are corroborated by implementing the model. Jackel and Kahl ¨ (2008) investigate the accuracy of a scaled analytical approximation for implied …
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Analysis of Statistical Impact of Steroids in Professional Major League Baseball Players
… for baseball formally known as "sabermetrics"(SABR). The core of this thesis is an attempt to analyze the statistical impact steroids have on baseball statistics at a professional level. By utilizing various baseball sabermetrics to collect data, this study examines how steroids have a …
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Risk stratification in the management of localised prostate cancer treated with radical radiotherapy
… elective pelvic nodal stereotactic radiotherapy (SABR) to prostate SABR in men with unfavourable intermediate- and high-risk localised prostate cancer, was designed and developed as part of this work. The development of a novel composite volume margin derivation approach is presented here. This …
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Volatility transformation in a multi-curve setting applied to caps and swaptions
… Model (LMM) and Stochastic Alpha-Beta-Rho (SABR) consistent with the new market framework are also presented. The second aim of the dissertation is to outline and implement methods of transforming volatilities within this new market framework. The market quotes available for caps/floors and …
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Critically exploring the influence of cultural values on young Iranian consumer experiences with clothing longevity: a phenomenological approach
… These include temporal frameworks such as Sabr (patience) and Ayandenagari(future orientation); self-regulatory mechanisms like Muraqabah (self-observing vigilance) and Muhasabah (self-evaluation); spiritual and eudaimonic motivations including Tazkiyah (self-purification) and …
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Recursive marginal quantization: extensions and applications in finance
… and for various exotic options on the popular SABR model. Finally, the recursive marginal quantization algorithm, and improvements, are applied outside the traditional risk-neutral pricing framework by pricing long-dated contracts using the benchmark approach. The growth-optimal portfolio, the …
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An Exponential Formula for Random Variables Generated by Multiple Brownian Motions
… Brownian motions, and apply those results to the SABR model.There has been work in this field, but the extension from one Brownian motion to two Brownian motions was ad hoc. Our development is more systematic and more readily extended to d-dimensional Brownian motion.</p>