Mathematica 9 is now available

Wolfram Library Archive


Courseware Demos MathSource Technical Notes
All Collections Articles Books Conference Proceedings
Title

Mathematica and the Future of Derivatives Pricing
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
Conference

1998 Worldwide Mathematica Conference
Conference location

Chicago, IL
Description

This presentation will survey the role of Mathematica in the pricing of complex financial instruments. Derivative securities normally require the calculation of a function of several variables together with a large set of partial derivatives. This places considerable strain on both traditional programming languages and the algorithmics required. The talk will show how Mathematica streamlines all stages of the modeling process from the elementary computation of partial derivatives through to the exposure of subtle flaws in well-known numerical algorithms. The use of advanced special-function techniques and the exploitation of the compiler will also be demonstrated, as will the use of the kernel in conjunction with Excel.
Subject

*Business and Economics
URL

http://library.wolfram.com/conferences/conference98/abstracts/mathematica_and_future_of_derivatives [...]