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OptionCity Publications:

•  Tutorial and Help manual for the OptionCity Calculator (available as part of the Calculator trial evaluation: download here

Other Related Publications:

  (Warning: 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 wilmott.com.
•  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: PerpAmerExamPosted.zip
•  Article: "American Options under Jump-diffusions: an Introduction", published in Wilmott (magazine), Mar 2003. Supporting C++: LevyLattice.cpp
•  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, 2004.
•  Invited Talk (UCSB's Center for Research in Financial Math. and Statistics, Seminar Series):  "Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models" , Feb 26, 2007.