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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.

History of Monte Carlo Methods - Palisade Conference: Audio Podcast
Paul Wilmott 5369 Views

Earlier this year, Paul Wilmott gave the keynote speech at the Palisade Conference in exotic Heathrow (Monte Carlo itself has gone terribly downmarket of late, dahlings).

This speech is now available as an audio podcast. Palisade incorporate Monte Carlo simulation tools as part of their powerful risk analysis software.

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