Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.

To be honest, I can't call myself a fan of Mathematica, as you can notice by the number of posts under 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.


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:

It can be used for:

No bigger news recently than Wolfram Alpha computational knowledge engine is finally available today, on 10/03/2009 I briefly wrote a post about what is wolfram alpha engine and what can it be used to service us, immediately after that, I applied to be a volunteer tester but got no reply. Anyway, it officially opens to public and we have chance to test its magic.

When talking about the pros and cons of Wolfram Alpha engine and Google, different people will offer different opinions, some people take it for granted that Wolfram Alpha will be a big threat to Google and eventually replace Google, however, others hold that Wolfram Alpha is just a computation calculator, and no matter how powerful it is, it is at most a calculator with search function . Weighing up these two arguments, I would say they complement each other, for example, before you calculate an Europen option with Wolfram Alpha computational engine, you need to google at least what an Europen option is.

In my previous post I joked about if Wolfram Alpha would return a result of "Black Scholes call option price with strike 10, asset price 10, time to maturity 1 year, interest rate 3%, and 25% annual volatility", alright, it turns out to be YES, just type "Black Scholes", you will get a form similar to the following graph

You might have no idea who is Wolfram, but you might know Mathematica more or less, right, Wolfram is the computer scientist who has developed Mathematica. A recent post of his blog shows his another more ambitious project named Wolfram|Alpha will be available in May, 2009.

What is Wolfram|Alpha? its own logo says WolframAlpha is a computational knowledge engine, It doesn't simply return results that contain (match) the keywords you search, like Google, Yahoo, or MSN live does, and it isn't only a giant database of knowledge, like the Wikipedia; Instead, Wolfram Alpha indeed computes the answers to the question you type in the "search" form. Simply put, it is a (computation + search) engine.

Since the project will only be available for public after May, currently we can't test its efficiency and how magic it is. Can it return the value of "Black Scholes call option price with strike 10, asset price 10, time to maturity 1 year, interest rate 3%, and 25% annual volatility"? LOL, I am too demanding.

Anyway, should you be interested, please check it at: http://www.wolframalpha.com/

Oops, first post on Mathematica, simply because I dont use it for research, I simply love 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/