- Tutorial and Help manual for the OptionCity Calculator (available as
part of the Calculator trial evaluation:
Other Related Publications:
the articles below are technically oriented)
Suggested download method: right click on links, and select "Save target
as.." (IE) or "Save link as ..." (NS). These files are in .pdf format
- Book excerpts: From "Option Valuation under Stochastic
Volatility". (Finance Press, Feb. 2000) by A. Lewis:
Ch. 1, Ch. 2,
Ch. 6, errata.
- Article: "A Simple Option Formula for General Jump-Diffusion and Other
Exponential L¨¦vy Processes" (August, 2001) by A. Lewis. Also, on the same
topic, conference overheads presented at
the "8th annual CAP Workshop on Derivative Securities and Risk Management",
Columbia Univ., NYC, Nov.9,2001
- Article: "The Mixing Approach to Stochastic Volatility and Jump
Models", (March, 2002), by A. Lewis, orig. published online at
- Article: "Asian Connections", published in Wilmott
(magazine), Sept. 2002, 57-63. This article references "Applications of
Eigenfunction Expansions in Continuous-Time Finance" originally
published in Math. Finance, 8, 349-383 (1998) and also available
here (no figs).
- Article: "Perpetual American Options Made Easy", published in
Wilmott (magazine), Jan 2003. Supporting Mathematica file:
- Article: "American Options under Jump-diffusions: an Introduction", published in
Wilmott (magazine), Mar 2003. Supporting C++:
- Invited Talk (USC Math. Finance):
"Path-dependent Options under Jump-Diffusions", April 22, 2003.
- Invited Talk (Caltech Student
Investment Fund): "Introduction to Mathematical Finance for Science
Students", March 1, 2004.
- Invited Talk
(AMS Spring 2004 Western Sectional):
"Two-sided Barrier Problems with Jump-diffusions" , April 4,
- Invited Talk
(UCSB's Center for Research in Financial Math. and Statistics,
"Geometries and Smile Asymptotics for a Class of Stochastic
Volatility Models" , Feb 26, 2007.