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.

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.

Gambling and Investment Hedge Fund Concepts II
Bill Ziemba 6845 Views

How to lose money in derivatives, oh and how to make it fast too.

Advertise your event here
Wilmott.com has a global membership of 100,000+ quants and risk managers, with a typical reader visiting once a week. Targeted access to top-level practitioners makes the Wilmott Events Board a highly effective way to contact future participants.

There are two ways to place your ad with us.

1. For a single ad, you can place it directly onto the Events Board on the Forum (log on and select 'new topic'). We will then direct you to our payment URL. The ad will remain hidden until we receive payment.

2. Alternatively, and to receive a bulk discount, you can send your ad(s) to us at events@wilmott.com and we will post it/them onto the board for you.

For details and costs, please contact events@wilmott.com.
Oanda
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Free Finance Focus Event with NAG and Wilmott
Paul Wilmott: The Role of Mathematics in Finance
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
Schlumberger Business Consulting Jobs
19 10 14: 7:37 PM
Cuchulainn
Summer time
27 06 14: 9:55 AM