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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.

In for the Count, Part 2: Wilmott Magazine Article
Dan Tudball 3817 Views

Dan Tudball's review of the life of one of quantitative finance's great heroes continues in this second and final installment.

Global Derivatives USA - November 17-21 2014 - Chicago IL
Quantitative Trading - Portfolio Construction - Pricing
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Bruno Dupire , Head Of Quantitative Research, BLOOMBERG
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