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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.

Monopoly 101: Wilmott Magazine Article
Aaron Brown 4477 Views

The board game can teach us about a lot more than just the untrustworthiness of friends and family. Read well, or else do not pass go, and do not collect $100...

RiskMinds International 2014 - 8-12 December 2014 - Amsterdam - 10% Wilmott DISCOUNT
RiskMinds International 2014

8-12 December 2014

Okura Hotel, Amsterdam

http://www.riskmindsinternational.com/FKN2386WMW

10% DISCOUNT - VIP CODE: FKN2386WMW

Now in its 21st year, RiskMinds International is the world's largest risk management conference and is fully established as the most senior gathering of the global risk management community. 600+ CROs, global Supervisors, renowned Academics and expert industry Practitioners will gather together this December to discuss strategic risk management, capital allocation and practical risk modelling. Here's a peak at what's on the agenda this year:

DRIVERS OF REFORM

Jonathan Faull, Director General, Internal Markets & Services of THE EUROPEAN COMMISSION will be explain how The Commission is establishing a safe and growth enhancing financial Sector for Europe. He will be joined by Lord Adair Turner, Former Chairman of the FSA and Sir John Vickers, OXFORD UNIVERSITY & the author of the Vickers Report to determine the future for banking reform.


SENIOR CROs

Raj Singh, Group CRO, STANDARD LIFE will be strategizing with 25+ CROs from institutions including CITI, ING, SG, CIBC, ERSTE GROUP, NOMURA HOLDINGS & WELLS FARGO on the role of the board, emerging risks, global banking & risk culture.


GLOBAL SUPERVISORS

Andrew Gracie, Executive Director, Resolution, BANK OF ENGLAND, alongside Governor Liikanen of the BANK OF FINLAND, Thomas Hoenig of the FDIC & Neil Esho of THE BASEL COMMITTEE ON BANKING SUPERVISION will offer an outline for coming reform.


RESPECTED ECONOMISTS

Willem Buiter the Global Chief Economist at CITI will talk QE, Recovery, Inflation and Growth. Willem has been an advisor to GOLDMAN SACHS, the Chief Economist for the EBRD and an advisor to The IMF & The World Bank - we are in safe hands!


RENOWNED ACADEMICS

Didier Sornette, Professor, ETH ZURICH shares his latest research on economic & financial bubbles while Emanuel Derman of COLUMBIA UNIVERSITY and Jon Danielsson of LSE embark on discussions on systemic & model risk.


THE BOARD

Anthony Santomero, Board Member at CITIGROUP will be joining a CRO Discussion on Risk and The Board alongside CROs who sit on the board: Wilfred Nagel of ING & Andreas Gottschling of ERSTE GROUP.


PHILOSOPHERS OF FINANCE

Nassim Taleb, NYU will be hosting a special one day workshop on Risk Management In The Real World & Professors Stefan Thurner, MEDICAL UNIVERITY OF VIENNA & Luciano Petronero, UNIVERSITY OF ROME will present on Systemic Risk & Measuring Intangibles.

Visit the website for more information: http://www.riskmindsinternational.com/FKN2386WMW

Don't miss details of the Global Risk Regulation Summit on December 8th, and our Practical Risk Workshops on December 12th, covering Credit Risk, Risk-Adjusted Performance, Operational Risk and Risk Management In The Real World.

You can get a 10% discount with Wilmott - quote the VIP code FKN2386WMW to claim.

For more information or to register please contact the RiskMinds team on +44 (0) 20 7017 7200, email info@icbi.co.uk or visit the website: http://www.riskmindsinternational.com/FKN2386WMW
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