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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.

Order Statistics for Value at Risk Estimation and Option Pricing: Wilmott Magazine Article
Frederik Herzberg and Christoph Bennemann 1125 Views

We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution of a portfolio of assets.

RiskMinds Risk & Regulation Forum 2014 - 22 to 25 September 2014, Crowne Plaza Barcelona - Fira Center
RiskMinds Risk & Regulation Forum 2014
22 - 25 September 2014, Crowne Plaza Barcelona - Fira Center

http://www.riskmindsregulation.com/FKN2423WLW

The RiskMinds Risk & Regulation Forum is the meeting place for 250+ CROs, global Supervisors, renowned Academics and expert industry Practitioners to meet and discuss the key issues in risk management and financial regulation across the banking, insurance and asset management industries.

An exceptional line-up of senior risk experts have already confirmed their place on the line-up, including:

Gavin Stewart CRO & Head of Risk, FCA
Raj Singh, Chief Risk Officer, STANDARD LIFE
Jean-Jacques Van Helten, CRO, Europe, BANK OF MONTREAL
John McMurray, Chief Risk Officer, RUSSELL INVESTMENTS
Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MINISTRY OF DEFENCE
Kevin O'Rourke, Chief Risk Officer & General Manager, MIZUHO CORPORATE BANK
Martin Spolc, Adviser to the Director General, Internal Market Services, Financial Services, EUROPEAN COMMISSION
Alex Duncan, CRO, JUST RETIREMENT
Ian Goldin, Professor of Globalisation and Development and Director, OXFORD UNIVERSITY
Michel Araten, Former Managing Director, EX-J.P.MORGAN
Oliver Gilvarry, Senior Policy Advisor, CENTRAL BANK OF IRELAND
David Suetens, International CRO, STATE STREET
Stephen Coombes, CFO, SUN LIFE FINANCIAL
Corien Wortmann-Kool, Vice Chair, EPP GROUP
Annette Olesen, Group CRO, NORDEA LIFE & PENSIONS
David Suetens, International CRO, STATE STREET
Ken Abbott, COO, Market Risk, MORGAN STANLEY

Key themes to be addressed at this year's forum include:

Beyond Basel III: Learning The Lessons of Basel II & Solvency II
The Future of Solvency II: Looking Beyond Compliance To Create Competitive Advantage
Modern Day Regulation: Analysing The Benefit/Burden
The Single Supervisory Mechanism: Assessing The Future Of Regulation & The SSMs Role
The ORSA: Extracting The Business Benefits
Comframe: Looking At the Successes Of Field Testing
Risk Appetite: Ensuring That Risk Management Is Part Of Everyone?s Responsibility
Risk Culture: Defining Risk Culture Through Key Indicators
EMIR: Determining The Optimal Set Up & Handling Of Trading On OTC Derivatives Changes Under EMIR
Shadow Banking: Aligning Asymmetries in Asset Management, Banking & Insurance
Cyber Security: Looking At the Technical & Cultural Challenges Of Managing Information Insecurity
Rethinking the Business Model: Looking At Profit & Efficiency Retention In Light Of Regulation
Risk Governance: Overcoming Challenges To Implement Risk Controls, Culture & Appetite

Visit the website for more details and don?t miss details of the 2 Practical Workshops on 22nd September:

Stress Testing Workshop - Assessing the results of the health check with Ken Abbott, Managing Director, Head of Quantitative Risk Management, MORGAN STANLEY
Risk Weighted Assets - RWA and meeting regulatory capital ratios with Michel Araten, Ex-Managing Director, J.P.MORGAN CHASE

Don't miss your chance to join us - you can get a 10% discount when you quote the VIP code FKN2423WLW.
For more information or to register please visit the website:

http://www.riskmindsregulation.com/FKN2423WLW

Call: +44 (0) 20 7017 7200 or email info@icbi.co.uk info@icbi.co.uk
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