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Mathematica in Finance Seminar Series

Chicago, Illinois
Beginning October 25, 2002         main page



The following topics will be covered:

Seminar I

Introduction to the Seminar Series

An outline of the programming paradigms available in the Mathematica system and its eminent applicability to modern finance as well as of the range of topics that are to be covered in greater detail over the following weeks

Seminar II

Introduction to the Mathematica Programming Language
  • Procedural and Functional Programming
  • Powerful Functions for Solving Differential and Integral Equations
  • Functions for Algebraic and Matrix Manipulation
  • Functions for Optimization
  • Statistical Packages

Seminar III

Further Mathematica Functionality
  • Graphics (2D and 3D) Capabilities
  • Numerical Capabilities
  • Interpolation and Curve Fitting
  • Standard Add-On Packages

Seminar IV

Simple Applications to Finance
  • Black-Scholes Model for European Options
  • Evaluation of the Greeks for European Options
  • Financial PDEs
  • Random Walks and Wiener Process
  • Random Number and Quasi-Random Number Generation

Seminar V

Financial Solution Strategies
  • Solving Financial PDEs
  • Solving Finite Difference Equations
  • Integration Techniques
  • Quasi-Random Package

Seminar VI

American and Exotic Options
  • Free Boundary Problem for American Options
  • Dividends and Discontinuity
  • Binary, Asian, Barrier, Chooser, Lookback, and Other Path-Dependent Options

Seminar VII

Optimization and webMathematica

Seminar VIII

Mathematica Connections to Matlab and Excel

Seminar IX

Wolfram Research Applications

Seminar X

Independent-Developer Application: Derivatives Expert
  • Utility, Discounting, Cash Flow, and Static Risk Tools
  • Floaters, Forwards, Options, Swaps, and Exotics

Seminar XI

Independent-Developer Application: UnRisk PRICING ENGINE
  • Underlying Methodology of Adaptive Integration
  • Financial Instruments and Derivatives under Deterministic and Stochastic Interest Rates