<![CDATA[Quantitative Finance Collector]]> http://www.mathfinance.cn/index.php en-US http://www.mathfinance.cn/mathematica-home-edition/ <![CDATA[Mathematica Home Edition]]> bo <tigerguob@hotmail.com> Sat, 29 May 2010 23:33:51 +0000 http://www.mathfinance.cn/mathematica-home-edition/ Mathematica category of this blog. No specific or big reasons, but just because my first job required Matlab & C++, my second job required R & S+ & Matlab, my master & PhD universities don't have Mathematica installed, that's it. I personally came across this software a few times either due to the codes I could find on my interested topics having only Mathematica version, or the request by my friends & colleagues for analysis.

Mathematica Home Edition - Finance
That's why I only got to know the existence of Mathematica Home Edition today despite the fact it has been in the market for over one year! What is Mathematica Home Edition? as the webpage shows:
Quotation
Mathematica Home Edition gives home users Mathematica's powerful technology, developed over 20 years and used by Nobel-winning scientists and leading corporations. It provides access to curated data, makes it easy to create and share interactive applications, and a whole lot more.

It can be used for:
Calculate mortgage, credit card, car, and student loan payments
Evaluate currency exchange rates
Monitor stock market returns and predict trends
And much more...


In short words, Mathematica Home Edition contains the same functions that can be found in Wolfram's Mathematica 7. it is the full version of Mathematica but at reduced price for recreational or personal use.

How much does it cost? $295, if you think $295 is a lot, please keep in mind the full non-student version is $2500!! Sounds a good deal? Start to Import, visualize and calculate using built-in financial data with Mathematica Home Edition.
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Read the full post at Mathematica Home Edition. ]]> http://www.mathfinance.cn/down-and-out-call-barrier-option/ <![CDATA[Down and Out Call Barrier Option]]> abiao <> Wed, 28 Apr 2010 09:29:58 +0000 http://www.mathfinance.cn/down-and-out-call-barrier-option/
A couple of weeks ago one of my friends had an interview at a local hedge fund and he had to prepare Greeks of exotics, so we decided to plot them. In Uwe Wystup’s book, Options in FX markets there is a nice and very clear analytical solution, and mathematica 7  is good in symbolic so the code just takes the derivatives and plots them.  Also to check the solution of down and out call we plotted the down and in call and their payoff combines into a regular call so that there wasn’t a mistake. If you do not have mathematica there is a mathematica free file viewer form Wolfram.

Together with the codes there is a mini manipulate idea where you can see the interaction of the Greeks with other input parameters  such as a Barrier where you see that the delta explodes when you are close to expiry and to the barriers. Uwe Wystup suggests that then one should do a barrier shift to prevent this so that one should rehedge your portfolio based on that shifted barrier. If you are interested to see this please download the attached Mathematica files and check it out.

Click to download
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Read the full post at Down and Out Call Barrier Option. ]]> http://www.mathfinance.cn/stable-distribution-analysis/ <![CDATA[Free Mathematica Software for Stable Analysis ]]> abiao <> Wed, 17 Dec 2008 21:26:46 +0000 http://www.mathfinance.cn/stable-distribution-analysis/ S(α,β,γ,δ;0) parameterization (top left), the "standard" S(α,β,γ,δ;1) parameterization (top right), S(α,β,γ,δ;2) parameterization (bottom left), S(α,β,γ,δ;3) parameterization (bottom right). The values of α are indicated on the plots, skewness is indicated by color: β=0 (black), β=0.25 (red), β=0.5 (green), β=0.75 (yellow), β=1 (blue). In all cases, scale γ=1 and location δ=0. Note the discontinuity in the standard 1-parameterization near alpha=1.

download stable distribution software at http://www.mathestate.com/tools/Financial/sw/Software.html
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Read the full post at Free Mathematica Software for Stable Analysis . ]]> http://www.mathfinance.cn/primitive-polynomials-sobol-sequences/ <![CDATA[Primitive polynomials for Sobol sequences]]> abiao <> Thu, 13 Nov 2008 21:16:41 +0000 http://www.mathfinance.cn/primitive-polynomials-sobol-sequences/ Sobol sequences is among the most widely-used low-discrepancy sequences, and most efficient one I have ever used. The biggest challenge for generating sobol sequences is to construct primitive polynomials, here is a Mathematic file showing the algorithm to construct primitive polynomials for multi-dimensional Sobol sequences , have fun.

http://leippold.googlepages.com/matlab
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Read the full post at Primitive polynomials for Sobol sequences. ]]> http://www.mathfinance.cn/unified-asian-option-pricing/ <![CDATA[Unified Asian Option Pricing]]> abiao <> Sun, 28 Sep 2008 13:36:47 +0000 http://www.mathfinance.cn/unified-asian-option-pricing/ arithmetic average Asian options.

A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields.

The paper "Unified Asian Pricing",  Risk, Vol. 15, No. 6, 113-116 and its Mathematica nb file can be downloaded at http://www.stat.columbia.edu/~vecer/.
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Read the full post at Unified Asian Option Pricing. ]]> http://www.mathfinance.cn/combinatorica-mathematica/ <![CDATA[Combinatorica mathematica package]]> abiao <> Mon, 25 Aug 2008 14:35:41 +0000 http://www.mathfinance.cn/combinatorica-mathematica/ Matlab and C++, due to their popularity and easy-to-use. However, good news for Mathematica fans, here I found an excellent Mathematica package named "The Combinatorica Project", which is a package written in 1989 by Steve Skiena for exercising computational discrete mathematics.

here is the introductory page and downloading link, have fun and enjoy new week.
http://www.cs.uiowa.edu/~sriram/Combinatorica/
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Read the full post at Combinatorica mathematica package. ]]>