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Derivatives exposure with Mathematica Part II - Analytical method
Author

Igor Hlivka
Revision date

2014-10-20
Description

Analytical approach to derivatives exposure is less common in practice, however for vanilla contracts where the future rate process can be defined in terms of known functions, it can bring certain advantages. Clarity, intuition and tidiness are prime examples. Mathematica 10 is perfectly suited for this task since its symbolic engine is robustly designed and optimized to handle these tasks efficiently.
Subjects

*Business and Economics
*Business and Economics > Finance
Keywords

Exposure, financial derivatives, risk
Downloads

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Derivatives exposure with Mathematica 10 - Analytical approach.pdf (396.1 KB) - PDF Document