Derivatives Models on Models

Alan Lewis on Stochastic Volatility and Jumps

Alan Lewis has worked with option valuation and related financial research for over twenty years. He served as Director of Research, Chief Investment Officer, and President of the mutual fund family at Analytic Investment Management, a money management firm specializing in derivative securities. He has published articles in many of the leading financial journals, including The Journal of Business, The Journal of Finance, The Financial Analysts Journal, and Mathematical Finance and Wilmott Magazine. He is probably best known for his book “Option Valuation under Stochastic Volatility”, one of the very first books covering this topic in detail.

I was lucky to write a paper together with Alan Lewis and my brother on valuation of options when the underlying asset pays discrete dividend. To write a paper together with Alan Lewis and my brother was a great pleasure. As an option trader and option formula collector I was quite familiar with the problem within current models trying to value options with discrete dividend. However, to solve and understand the problem in depth I needed to team up with someone with great mathematical quant skills, and here Alan Lewis together with my brother came in. While I worked on implementation and testing out as many models as we could find in the literature, Alan Lewis and my brother figured out how to come up with a model that did not inherit the problems affecting current models and formulae. I felt we ...