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We study the SABR model of stochastic volatility [10]. This model is essentially an extension of the local volatility model [6], [4], in which a suitable volatility parameter is assumed to be stochastic. The SABR model admits a large variety of shapes of volatility smiles, and it performs remarkably well in the swaptions and caps / floors markets. We refine(More)
SFI Working Papers contain accounts of scientific work of the author(s) and do not necessarily represent the views of the Santa Fe Institute. We accept papers intended for publication in peer-reviewed journals or proceedings volumes, but not papers that have already appeared in print. Except for papers by our external faculty, papers must be based on work(More)
This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves the issue of bootstrapping is reviewed and how the interpolation algorithm should be intimately connected to the bootstrap(More)
Characterization of several high-affinity murine monoclonal anticarcinoembryonic antigen (CEA) antibodies suggested good specificity except for cross-reactivity with an antigen on granulocytes and erythrocytes which was different from the previously described normal cross-reacting antigen of granulocytes. In vivo studies in athymic mice using an indium(More)
The Toyota Production System (TPS) has become a successful model for improving efficiency and eliminating errors in manufacturing processes. In an effort to provide patients and families with the highest quality clinical care, our academic children's hospital has modified the techniques of the TPS for a program in continuous performance improvement (CPI)(More)
This paper describes the oxidation of iron-rich uranium-bearing rocks by infiltration of groundwater. A reaction-diffusion model is set up to describe the sequence of reactions involving iron oxidation, uranium oxidation and reduction, sulphuric acid production, and dissolution of the host rock that occur. On a geological timescale of millions of years, the(More)
OBJECTIVE Seattle Children's in Seattle, Washington sought to establish governance over peripherally inserted central catheters. Preventing overuse and creating an efficient placement process were of paramount importance. METHODOLOGY We describe a process by which the marriage of continuous performance-improvement projects and computerized physician order(More)
We analyze an increasingly popular NMR method analogous to the black lipid membrane (BLM) isotopic tracer experiment for the study of mediated cation transport but involving the preparation of vesicles with an environment asymmetric in that paramagnetic metal ions are present only outside the vesicles. This asymmetry is manifest in the NMR spectrum as two(More)
input is perturbed (the method is not local). In Hagan and West [2006] we introduced two new interpolation methods—the monotone convex method and the minimal method. In this paper we will review the monotone convex method and highlight why this method has a very high pedigree in terms of the construction quality criteria that one should be interested in.(More)