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Modeling Volatility and Valuing Derivatives Under Anchoring
Paul Wilmott, Daniel Duffy & Alan Lewis

We develop a complete-markets model with volatility smiles, tractability, and intuitive appeal as an anchoring or habit-formation model. Like traditional stochastic volatility models, it is invariant to a multiplicative scaling the stock price levels. The anchoring effect is that the volatility depends on the relative value of the current stock price compared to its past history, with an exponential weighting.

Click here for free access to this and more exclusive content from the September Issue of Wilmott Magazine.

In Focus - Xenomorph
Brian Sentance

The firm behind TimeScape deals with data from every possible perspective, innovating to the point where users can now monetize their own data...

Click here for access to more exclusive Wilmott Magazine articles.

TARNs: Models, Valuation, Risk Sensitivities: Wilmott Magazine Article
Vladimir V. Piterbarg 3592 Views

We study a new class of interest rate exotics, Targeted Redemption Notes, from the financial modeling prospective. We discuss issues of model selection, develop methods and techniques for valuation, and present approaches for improving numerical properties of risk sensitivities calculations.

]V-FI Valuation of Financial Instruments Americas 2014 - 9-10 December 2014 | New York - 10% Wilmott Discount
V-FI Valuation of Financial Instruments Americas 2014
9-10 December 2014 | New York, TBC

10% Discount Available with VIP Code FKM62888WML - Register today!

Following huge popularity with European Valuation and Quantitative teams, V-FI is coming to the US

The only Valuation Summit, V-FI Americas will bring together 120+ members of the Valuation community to discuss the valuation of complex and illiquid assets, quantitative modeling, 'XVA' developments, pricing and regulatory change

Don't miss this unique event - the only Summit bringing together Valuation and Product Controllers, Quants, Traders, Regulators and Pricing experts to ensure the key areas of the Valuation community engage in dialogue.

View the latest agenda for more information

Key Highlights at V-FI Americas

120+ Delegates
40+ Valuation speakers
20+ Bank case studies and panels
Choice of 2 Topic Streams:
- Quantitative Modeling
- Valuation Framework
Global Heads of Valuation Control Panel
Regulatory and Academics keynotes

10% Discount available with VIP Code FKM62888WML - Register today!
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