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UnRisk: A Package for the Valuation of Financial Derivatives

Andreas Binder
Organization: MathConsult GmbH

2001 Mathematica Developer Conference
Conference location

Champaign, IL

The UnRisk is an application package for the numerical valuation of financial derivatives. For most of the actively traded financial instruments, closed-form solutions are not available and numerical schemes have to be applied. In the UnRisk, Adaptive Integration is implemented, a method developed by MathConsult, which combines analytic (local Green functions) and numeric components. Adaptive Integration typically needs drastically fewer time steps than, say, binomial trees. The computational engine of UnRisk is realized in C++ and is linked to Mathematica via MathLink.

*Business and Economics
*Mathematica Technology > Application Packages > Applications from Independent Developers > UnRisk PRICING ENGINE
*Mathematica Technology > Linking Technology > MathLink
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*UnRisk PRICING ENGINE   [in Technical Notes]
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