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Modelling Financial Derivatives with Mathematica
Author

William T. Shaw
Organization: King's College, University of London
Department: Department of Mathematics
URL: http://www.mth.kcl.ac.uk/staff/w_shaw.html
Book information

Publisher: Cambridge University Press
Copyright year: 1998
ISBN: 052159233X
Medium: Hardcover
Includes: CD-ROM
Pages: 550
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Contents

Advanced Tools for Rocket Science | An Introduction to Mathematica | Mathematical Finance Preliminaries | Mathematical Preliminaries | Log and Power Contracts | Binary Options and the Normal Distribution | Vanilla European Calls and Puts | Barrier Options--A Distribution | Analytical Models of Lookbacks | Vanilla Asian Options--Analytical Methods | Vanilla American Options | Double Barrier, Compound, Quanto Options and Other Exotics | The Discipline of the Greeks and Overview of Finite-Difference Schemes | Finite-Difference Schemes for the Diffusion Equation with Smooth Initial Conditions | Finite-Difference Schemes for the Black-Scholes Equation with Non-smooth Payoff Initial Conditions | SOR and PSOR Schemes for the Three-Time-Level Douglas Scheme and Application to American Options | Linear Programming Alternatives to PSOR and Regression | Traditional and Supersymmetric Trees | Tree Implementation in Mathematica and Basic Tree Pathology | Turbo-charged Trees with the Mathematica Compiler | Monte Carlo and Wozniakowski Sampling | Basic Applications of Monte Carlo | Monte Carlo Simulation of Basket Options | Getting Jumpy over Dividends | Simple Deterministic and Stochastic Interest-Rate Models | Building Yield Curves from Market Data | Simple Interest Rate Options | Modeling Volatility by Elasticity
Description

Designed to be used as a text for an MBA course or for professional training in financial institutions. Uses Mathematica to analyze financial models. Mathematica's graphics capabilities are exploited to show how a model's characteristics can be visualized in 2 and 3 dimensions. Accompanying CD contains notebook versions of the models discussed in the text.

The electronic supplement to this book contains three items. The first, Chapter1.nb, is the first chapter of the book, which introduces the reader to the basic principles of derivatives modelling and discusses the unique applicability of Mathematica to this work.

The second item, ShawV4.nb, is for people who already own the book, and updates every chapter with new information including, but not limited to, V4 compatibility.

ShawV5.nb, also for those who already own the book, provides updates and information on V5 compatibility.

The author maintains an updated set of supporting notebooks available at http://www.maths.ox.ac.uk/~shaww/. The Version 5 Notebook has the March 2004 version of his latest notes.
Subject

*Business and Economics
Keywords

derivatives, modelling, modeling, greeks, Options, Finance, Version 4, Mathematica 4, Modelling Financial Derivatives with Mathematica
Downloads Download Wolfram CDF Player

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Chapter1.nb (326.9 KB) - Mathematica notebook
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ShawV4.nb (188.7 KB) - Mathematica notebook
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ShawV4.nb.sea.hqx (88.7 KB) - binhexed macintosh self-extracting archive
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ShawV5.nb (202.7 KB) - Brief remarks about Version 5 [for Mathematica 5.0]

Files specific to Mathematica 2.2 version:
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Chapter1.nb (326.8 KB) - Mathematica notebook