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Derivative Pricing with Mathematica

Andrzej Kozlowski
Organization: Tokyo Denki University
Department: Faculty of Information Environment

2002 World Multiconference on Systemics, Cybernetics, and Informatics (SCI 2002)
Conference location

Orlando, FL

Mathematica has established itself as one of the most powerful and widely used tools in financial engineering. It is used by banks and financial institutions as well as by academic researchers. A number of books and articles on finance include Mathematica code. This talk is an elementary introduction to the use of Mathematica in just one aspect of financial mathematics: derivative pricing and risk management. We explain a few basic concepts, such as Ito's processes, Ito's Lemma, martingales, the Black-Scholes equation, the pricing of options, and risk management, and illustrate them with Mathematica. We also mention several books and articles in which these matters are discussed in greater detail.

*Business and Economics
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kozlowski.nb (266.5 KB) - Mathematica Notebook