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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.

Low Strike Extrapolation for SABR - d-fine
Sebastian Schlenkrich, André Miemiec, Tilman Wolff-Siemssen, d-fine GmbH, Frankfurt, Germany

In this paper we analyse the modelling of rate options in a low interest rate market environment. In particular, the pricing of low, zero and negative strike vanilla options is considered. We review the modelling approaches available in the literature. For the important special case of the widely used SABR formula we illustrate the shortcomings connected with the low strike wing of the smile.

Moreover, a simple approach of low strike extrapolation will be presented. It is based on gluing the density function implied by the standard SABR formula to a suitable density function at low strikes in an arbitrage free manner. This approach yields a robust and transparent method to price low, zero and negative strike vanilla options.

Volatility Forecasting, Option Trading and CrashMetrics
Paul Wilmott 11541 Views

Lecture presented at the IQPC Correlation Trading Conference, London, April 2006: a stochastic volatility model based on data, confidence intervals, how to dynamically hedge to exploit arbitrage opportunities, diversification, market crashes, CrashMetrics and insuring your portfolio.

Global Derivatives USA - November 17-21 2014 - Chicago IL
Quantitative Trading - Portfolio Construction - Pricing
Volatility - Equity - Interest Rates - FX - Commodities - Inflation - Credit - Hybrids
November 17-21 2014
Swissôtel Chicago IL

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Peter Carr , Managing Director, MORGAN STANLEY
Freddy Lim , Managing Director & Global Head Of Derivatives Strategy, NOMURA
Ray Iwanowski , Founder & Managing Principal, SECOR ASSET MANAGEMENT
Sam Priyadarshvi, Head, Fixed Income Derivatives, VANGUARD
Wiley Pickett , Senior Commodity & FX Derivatives Strategist, FORD MOTOR COMPANY
Marcos Lopez de Prado , Senior MD, GUGGENHEIM PARTNERS
Indrani De , Director Of Quantitative Research, NEW AMSTERDAM PARTNERS
David Jessop , Managing Director, Global Head Of Equities Quantitative Research, UBS
Nicolas Mougeot , Principal Director, Advisory & Research, CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC
Puneet Kohli, ‎Portfolio Manager, HEALTHCARE OF ONTARIO PENSION PLAN
Yin Luo , Managing Director & Global Head Of Quantitative Strategy, DEUTSCHE BANK
Ed Tom , Head, Equity Derivatives Strategy, CREDIT SUISSE
Cris Doloc , Head Of The Valuation Infrastructure Group, CHICAGO TRADING COMPANY
Michael Hunstad , Senior Vice President & Head Of Quantitative Research, NORTHERN TRUST ASSET MANAGEMENT
Neil Joshi , Co-Chief Investment Officer, PEAK6 INVESTMENTS
Marco Avellaned a, Professor Of Mathematics & Finance, COURANT INSTITUTE, NYU
Benjamin Bowler , Global Head Of Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH
Bruno Dupire , Head Of Quantitative Research, BLOOMBERG
Jessica James , MD, Head, FX Quantitative Solutions Team, COMMERZBANK
Anlong Li , Head Of Quantitative Volatility Group, ALLSTON TRADING
Neal Soss , Chief Economist, CREDIT SUISSE

And so many more? see website for full listing!

Topics include:
Volatility: Strategies beyond selling volatility, VIX trading strategies, non-equity volatility, forecasting, vol of vol, modelling VIX options dynamics
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Fixed Income Products: Interest rate volatility, fixed income algorithmic trading, inflation trading
Commodities: Market outlook, trading strategies, modelling FX-commodity correlation
FX: Trading strategies, FX market outlook, hedging strategies
Quantitative Approaches For Insurance Products: Variable annuities, gap risk, mortality
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