SciComp SLV Calibrator
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.

CQF Open Day Presentation
Paul Wilmott & 7city 2072 Views

We occasionally hold CQF open evenings for potential applicants and all interested parties. A presentation by Paul Wilmott to introduce the CQF, is followed by an opportunity to discuss the certificate in more detail with some of the course directors. If you would like to attend the open evening, please contact 7city client services, telephone +44 (0) 20 7496 8600 or email clientservices@7city.com if you would like to attend.

If you are not able to attend an Open Evening, why not watch it on the web? A recording is now available allowing you to hear and see Dr Paul Wilmott give an overview of the CQF program, what it is, how it's delivered, who lectures and the reasons for taking it.

RiskMinds Asia 2014 - 17-20 November, St Regis, Singapore - 15% Wilmott Discount
RiskMinds Asia 2014
17-20 November, St Regis, Singapore

New Strategic Insights & Practical Techniques In Risk Management
For Retail & Investment Banks, Insurance Companies & Asset Managers

* 15% DISCOUNT OFFER *
quote VIP: FKN2398WILW on the website

http://www.riskmindsasia.com/FKN2389WILW


Key topics include:


Strategic & Practical Challenges Of Implementing The New Banking Regulation
Shadow Banking
Basel III - A Roadmap For The Regions
The Trading Book Review
Creating A Robust Risk Culture & Appetite
A Strategic Role For Stress Testing
Connecting The Risk Engine Room To The Boardroom
The CFO Perspective On Risk
The Blossoming Relationship Between The CRO & The CIO
Emerging Risks
New Credit Risk Analytics
Liquidity Under Basel Including Net Stable Funding & Liquidity Coverage Ratios
Practical Implementation Of ERM And Harnessing It To Be Useful

50+ experienced speakers including:

Ronnie Tan, Group CRO, Great Eastern Life
Hein Jan Smit, CRO, Bank Islam Brunei Darussalam Berhad
Lukas van der Hoef, Country CRO (Singapore), ABN Amro
Yuji Nakata
, Deputy CRO, Nomura
Peter Deans, CRO, Bank of Queensland
So Lan Ip, CRO, Ping An Group
Anju Abrol, CRO (Asia), Westpac
Irma Savitry Daulay, Chief Credit Officer, Bank Danamon
Brian Lo, Group Risk, Head of Market & Liquidity Risk, DBS Bank
Javed Husain Siddiqi, CRO, Soneri Bank
Fan Gao, Head of Operational Risk for APAC, Citigroup
Pardi Sudrajat, Group Head of Market Risk, Portfolio & Operational Risk, Mandiri Securities
Tan You Leong, North Asia CRO, OCBC
Kenji Fujii, Group Head of Global Risk Management, Mizuho Securities
Giovanni Bussu, CRO Asia Pacific, Unicredit
Dinesh Talsania, Chief Manager - Risk Management, ICICI BANK
and many more, please see website for full speaker list and updated agenda

"RiskMinds Asia gathered the great minds, thoughts and ideas, which inspired participants with powers to go on with their odysess of 'Against the Gods' journey."
Felix Fung, Head of Risk Management, BOCOM INTERNATIONAL
Plus, spend more time with the experts and attend one of the full-day practical workshops (20 November) on Stress Testing, Technology Risk and Risk Appetite & Culture.

Find out more & claim your 15% discount today on: http://www.riskmindsasia.com/FKN2389WILW
Oanda
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Finance Focus: Andreas Binder
Finance Focus: Bill Ziemba
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
Tweet tweet
28 10 14:11:39 PM
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
Happy Halloween: Michael Jackson's "Thriller"
31 10 14: 1:02 AM
Cuchulainn
Summer time
27 06 14: 9:55 AM