SciComp - Futures Volatility Surface Calibrator
Subscribe to Wilmott
Follow us on Twitter
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
jobs board
search
magazine
cqf
about us
subscribe
home
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.

Alternative Large Risks Hedging Strategies for Options
F. Selmi & J.P. Bouchaud 3970 Views

As soon as one accepts abandoning the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become inequivalent. Optimal hedges then depend on the quantity one wishes to minimize. We show that a definition of the risk more sensitive to the extreme events generically leads to a decrease both of the probability of extreme losses and of the sensitivity of the hedge on the price of the underlying (the 'Gamma'). Therefore, the transaction costs and the impact of hedging on the price dynamics of the underlying arereduced when using this alternative hedge.

]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!
Oanda
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Finance Focus: Andreas Binder
Singular perturbation problems
Latest Blogs
Paul
You Naughty Spies
29 01 14: 12:10 PM
NNT
Quiz 7 - The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM
Collector
Option pricing in the late 19th century
19 09 14:11:05 AM
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM
DCFC
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Models On Models
21 05 11: 4:49 PM
Jan Dash
New paper "Market Crises, Earthquakes, and the Reggeon Field Theory"
11 06 13: 2:36 AM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
Priceless!
19 09 14: 2:58 PM
Cuchulainn
Summer time
27 06 14: 9:55 AM