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 OtherExponential Lévy 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.
(AMS Spring 2004 Western Sectional):
"Two-sided Barrier Problems with Jump-diffusions" , April 4,
(UCSB's Center for Research in Financial Math. and Statistics,
"Geometries and Smile Asymptotics for a Class of Stochastic
Volatility Models" , Feb 26, 2007.