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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.
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