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Financial Derivatives Technology with Mathematica
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| Organization: | Andreas Lauschke Consulting |
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2003 Mathematica Developer Conference
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Champaign
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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.
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financial derivatives, Monte-Carlo, J/Link
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| andreas4.zip (6.2 MB) - ZIP archive |
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