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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.

The Market Price of Interest-rate Risk: Measuring and Modelling Fear and Greed in the Fixed-income Markets: Wilmott Magazine Article
Riaz Ahmad & Paul Wilmott 3182 Views

In this paper we examine the statistical properties of the spot interest rate and the yield curve, using US data, to identify the behaviour of the market price of interest rate risk. This is then also examined statistically so that a two-factor interest rate model is developed.

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

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