This is where we'll announce the most recent
additions to our web site. If you've visited us before and want to know what's
changed, take a look here first.
- Sept., 2001: Everything is new! Try out
the OptionCity Calculator.
- March 12, 2002: Version 1.0 of the Calculator
has been released for trial evaluations and license purchase. (If you have
previously registered, you should have received instructions on downloading
the trial version.)
- March 24, 2002: FAQs
have been added to the site.
- March 28, 2002: New technical article
published: "The Mixing Approach to Stochastic Volatility
and Jump Models" (see publications).
- June 6, 2002: Registration problem corrected.
If you have recently tried to register for the Calculator or mailing list, and
experienced a problem, please try again.
- November 1, 2002: A very limited number of
copies of the book "Option Valuation under Stochastic Volatility" have just
been made available. For details, see the Book forum at
www.wilmott.com. Also, the errata (see
publications) has been modified.
- November 7, 2002: New technical article
published: "Asian Connections" in Wilmott (magazine), Sept. 2002, 57-63. This
article references an older paper, "Applications of Eigenfunction Expansions
in Continuous-Time Finance", which is now available in
- Jan 14, 2003: New technical article published:
"Perpetual American Options Made Easy" in Wilmott (magazine), Jan. 2003.
Supporting Mathematica code is in
- Feb. 5, 2003: Version 1.1
of the OptionCity Calculator released. This new release provides some minor
bug fixes and now handles American-style options under the
jump-diffusion model. Previous license purchasers
may download the new version here and
should find that it automatically runs. New users need to
register to receive a password.
- March 1, 2004: An invited talk to the Caltech
Student Investment Fund has been posted, titled "Intro. to Mathematical
Finance for Science Students. Thanks to Graham Free and all who attended.
- April 4, 2004. An invited talk titled
"Two-sided barrier problems with jump-diffusions" has been posted. These
preliminary results were presented to the AMS Spring 2004 Western Sectional
meeting at the USC campus. Thanks to Jaksa Cvitanic for the invitation and
discussion of results.
- Feb. 4, 2005: A second printing (with
corrections) of the book
"Option Valuation under Stochastic Volatility"
by Alan L. Lewis has been completed. Thanks to all
those who submitted corrections. (The book is available at amazon.com
- May 9, 2006: The OC
Calculator is now a free application.
- Feb. 28, 2007:
An invited talk titled "Geometries and Smile Asymptotics for a Class of
Stochastic Volatility Models" has been posted in
publications. These preliminary results were
presented to UCSB's Center for Research in Financial Mathematics and
Statistics. Thanks to Jean-Pierre Fouque for the invitation and discussions,
as well as Martin Forde, and others who attended.
- Nov. 9, 2001: Alan Lewis, OptionCity.net
founder, is an invited speaker at Columbia University's CAP (Center for
Applied Probability) conference in NYC....Thanks to all the participants for
many interesting conversations: the conference overheads are posted under
- Apr. 22, 2003: Invited talk by A. Lewis to the
USC (Univ. of Southern Calif.) Math. Finance students. Subject:
Path-dependent options under jump-diffusions ...
Thanks so much to Doug Adams, Jaksa Cvitanic, and all the students who
attended: the overheads are posted under