The Wolfram team would like to thank all of the attendees who participated in this seminar and helped make it such a success! Presentation notebooks and collateral are available below. Sign up to be notified about upcoming events »
Financial engineering requires a highly flexible and accurate computing platform to respond with agility and confidence to the market. Wolfram Finance Platform provides a highly powered hybrid-numeric-symbolic system with a broad range of financial models built-in and optimised for CUDA-based implementation.
This presentation focuses on the statistical capabilities of Wolfram Finance Platform, particularly in the potential for complex or assumption-free Value at Risk calculations. In addition, Wolfram Finance Platform has the ability to perform highly complex stochastic model simulations—for instance, zero-coupon bond pricing assuming the Vasicek insurance rate model—through built-in random processes, including time series such as FARIMA.
The new automatic Report Generation capabilities are also demonstrated, showing how complex analyses may be automated and deployed immediately as fully interactive CDF documents.
In the film Minority Report, the PreCrime unit of the Washington, DC, police department uses psychic powers to detect people who are about to commit crimes and locks them up before they do so. Macro-prudential policy is envisioned to work in more or less the same way: the crime in this case is to cause a financial crisis and the perpetrators are banks pursuing systemically risky strategies. The crucial role of the psychics is played by algorithms or riskometers that empirically implement a theoretical measure of how much systemic risk each bank creates. In this talk we evaluate the accuracy of the risk readings that current riskometers provide.
Stochastic processes and stochastic calculus have become a central unifying topic in modern financial theory. Starting with Ito's lemma and the Black–Scholes pricing methodology, stochastic calculus has become an essential tool for financial quants. This presentation considers how stochastic calculus is implemented in Wolfram Finance Platform, not only for the determination of any function of stochastic variables but also in the generation of random paths directly from SDEs. We also show how many popular financial stochastic processes are built-in functions with a uniform calling structure.