recently, reports have shown that gastric cancer has high abundance in iran and is at the second level in men, and fourth in total. this study aimed to determine the 5-year survival of gastric cancer patients and to investigate factors affecting the performance, based on tnm-7 staging system. in this study, we investigated 760 patients with gastric cancer since the beginning of 1993 to the end ...

To take into account leverage effect, Wiener stochastic processes W1,W2 should be correlated dW1 · dW2 = ρdt. The stochastic model (1.2) for the variance is related to the square-root process of Feller (1951) and Cox, Ingersoll and Ross (1985). For the square-root process (1.2) the variance is always positive and if 2κθ > σ 2 then it cannot reach zero. Note that the deterministic part of proces...

We investigate the extremal behaviour of a diiusion (X t) given by the SDE dX t = (X t)dt + (X t)dW t ; t > 0 ; X 0 = x ; where W is standard Brownian motion, is the drift term and is the diiusion coeecient. Under some appropriate conditions on (X t) we prove that the point process of "{upcrossings converges in distribution to a homogeneous Poisson process. As examples we study the ex-tremal be...

The purpose of this paper is to add to the empirical evidence on the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a “horse-race” comparing various one, two, and three factor models (possibly with jumps), across multiple historical sample periods. We begin by outlining a three fac...

This paper consists in introducing an option price expansion for model combining local and stochastic volatility with tight error estimates. The local volatility part is considered as general but has to satisfy some growth and boundedness assumptions. For the stochastic part, we choose a square root process, which is usually used for modelling the behaviour of the variance process. In the parti...

We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as part of vector-SDEs modeling stochastic volatility (Heston model). Both exact and biased discretization methods are covered.

This paper develops an eigenfunction expansion approach to pricing options on scalar diffusion processes. All derivative securities are unbundled into portfolios of primitive securities termed eigensecurities. Eigensecurities are eigenvectors of the pricing operator (present value operator). Pricing is then immediate by the linearity property of the pricing operator and the eigenvector property...

We study the optimal stopping problems embedded in a typical mortgage. Despite a possible non-rational behaviour of the typical borrower of a mortgage, the problem is worth to be solved for the lender to hedge against the prepayment risk, and because many mortgage-backed securities pricing model incorporate this suboptimality via a so-called prepayment function which can depend, at time t, on t...