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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 publications.
  •  Jan 14, 2003: New technical article published: "Perpetual American Options Made Easy" in Wilmott (magazine), Jan. 2003. Supporting Mathematica code is in publications.
  •  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 various amazons around the world.
  •  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. 
  •   May 17, 2016: A new book "Option Valuation under Stochastic Volatility II"  by Alan L. Lewis has been completed. The book is available at various amazons in the US, Europe, and the UK.

  •  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 Publications  
  •  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 Publications