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Financial Derivatives Technology with Mathematica
Author

Andreas Lauschke
Organization: Andreas Lauschke Consulting
Conference

2003 Mathematica Developer Conference
Conference location

Champaign
Description

This talk will focus on the latest developments in financial derivatives technology and exemplify several solution methodologies, such as binary trees, partial differential equations, finite differences, and Monte-Carlo sampling for the pricing and risk management of derivatives portfolios. The talk will include a demo of real-time retrieval of stock and options prices with J/Link, instant calculation of risk sensitivities, and immediate tabular and graphical 2d and 3d output in the Mathematica front end. Real-time data will be displayed in a complete options trading screen, rate curves, and technical analysis graphs.
Subjects

*Business and Economics
*Mathematica Technology > Linking Technology > J/Link
Keywords

financial derivatives, Monte-Carlo, J/Link
Downloads

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andreas4.zip (6.2 MB) - ZIP archive