Mathematica Solution for Financial Risk Management

Rapidly develop and test robust financial risk models and deploy them as interactive applications or as high-performance infrastructure components—all from one system, with one integrated workflow.

The Mathematica financial risk management solution is unique in offering the reliability of a mixed symbolic-numeric approach to computation, multiple switching algorithms, built-in computable financial and economic data, and built-in parallel computation for scaling up.

Using built-in or imported financial data in interactive visualizations

Price, Bollinger bands, and volume for the S&P 500 over one year

Key Capabilities

Why Choose Mathematica

Ways to Use

Mathematica includes thousands of built-in functions for computation, modeling, visualization, development, and deployment »
Financial risk management specific capabilities:
Versatile platform for rapid development and exploration of algorithms in financial engineering
Comprehensive derivative calculations, including American, European, and exotic derivative pricing; Greeks; and implied volatility »
Immediately create highly customized interactive financial charts using 100 built-in financial indicators »
Symbolic and numeric time-value-of-money computations, including valuation of lump-sum amounts, annuities, and continuous or discrete cashflow streams »
Calculation of effective interest rates for continuous or discrete time processes and term structures »
Bond computation functions for values, sensitivity measures, accrued interest, and calendar measurements using continuous and discrete time coupon or interest rate processes and term structures »
State-of-the-art data visualization with scaling functions; paired bar charts and histograms; and finance-specific charts like candlestick, point and figure, Kagi, and more »
World's best symbolic and numeric equation solvers, along with industry-leading sets of special functions and algorithms »
High-performance numerical linear algebra operations and sparse linear algebra routines enable fast and efficient large-scale data computations »
Built-in parallel processing that can be easily scaled up to a full grid for large-scale number crunching »
Support for 64-bit technology allows processing of large datasets
Linear and nonlinear optimization abilities, including the interior-point method, constrained nonlinear optimization, and more »
Built-in financial data, including current and historic market data, plus programmatic and interactive access to financial and economic data from Wolfram|Alpha

Mathematica has immediate built-in access to current and historical financial and economic data
Financial Data »
Use current and historical delayed stock, fund, index, and currency data, and more
Country Data »
Use socioeconomic data and time series for all countries, including GDP and exchange rates
Free-form linguistic input produces immediate results without the need for syntax »
Built-in statistical analysis and probability distributions, including stable and hyperbolic distributions, plus the ability to create distributions from data or other distributions »
Integrated GPU computation, with CUDA and OpenCL support, and external dynamic libraries for fast, efficient execution
Automatically convert Mathematica programs into standalone C code with code generation functions »
Built-in connectivity to databases, web services, existing C++ code, other commercial programs, and Java and .NET frameworks and close integration with Microsoft Excel and OpenOffice Calc spreadsheets »
Import and export all common data formats, including XML, XLS, CSV, and TSV, or use Mathematica Link for Excel to run Mathematica and Excel side by side
Hundreds of interactive models in the Wolfram Demonstrations Project, ready to be used and extended »
Valuation of equities and FX derivatives; calculation of hedging, sensitivity parameters, and survival probabilities; and advanced calibration schemes for risk analysis with respect to market data with UnRisk PRICING ENGINE »
Neural network modeling of financial data series with Neural Networks »
Time series analysis to plot, transform, and model data with Time Series »
Next:
Why Choose Mathematica

Key Capabilities

Why Choose Mathematica

Ways to Use

Compare Mathematica to your current tools. Do they have these advantages?
Symbolic capabilities of time-value and bond functions allow for seamless integration with Mathematica's statistics framework for use in financial computations involving uncertain outcomes
Competitor note: Other systems require the purchase of add-ons to add functionality
Develop, analyze, test, document, and deliver custom models in a fraction of the time needed with other systems
Get accurate results with fully automated precision control and arbitrary-precision arithmetic »
Competitor note: All systems relying on machine arithmetic, such as Excel or Matlab, become inaccurate
Gain accuracy and reliability by performing symbolic calculations, not just numeric ones
Competitor note: Matlab's built-in routines only handle numeric calculations

Choose from procedural, functional, and rule-based programming paradigms for fast development and deployment »
Competitor note: Other computation environments use predominantly procedural languages
Next:
Ways to Use

Key Capabilities

Why Choose Mathematica

Ways to Use

Work with your existing Bloomberg feeds, RiskMetrics data, and with QuantLib libraries and link to other data and applications with built-in connectivity tools
The world's largest market maker in Eurodollar derivatives uses Mathematica for rapid prototyping of products and trading strategies
Hedge funds use Mathematica for portfolio optimization
Back-test trading strategies to check viability or stress test models to account for extreme market changes
One major stock index is computed in real time using Mathematica
Develop and refine analytic models for risk
Calculate value-at-risk for different portfolios and time horizons
Do straight-through processing, from the trade capture to the backend, on any platform, eliminating manual tasks and single points of failure »
Access real-time trading data and perform instant analysis

Use built-in connectivity features to combine a Java trading interface, a C pricing engine, and MySQL position databases in one central command center; dispatch order routing on .NET and Java platforms from one central command center; or perform position reconciliation with online statements from the clearinghouse with XML functions
Create new calculation, graphing, and modeling tools, and deploy them to your website with webMathematica »
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Key Capabilities

FINANCIAL RISK MANAGEMENT CASE STUDIES

Case Studies

Some Major Organizations Using Mathematica

Online or Onsite Technical Demonstration

See firsthand how Mathematica can help your team or organization!

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User Stories

A Comprehensive Solution: Developing an Enterprise-Wide Platform with Mathematica

"The different technologies that Mathematica has now that allow you to go from something very sophisticated, like the notebook interface, all the way to the web interface is very powerful."

—Philip Zecher

Chief Risk Officer, EQA Partners, LP

Financial Data on Demand: Building an Interactive Web Service with Mathematica

"The amount of code that's required to produce the same amount of work is a fraction of the amount of code that we would have to write with other tools, so the time to delivery is much faster."

—Alan Savoy

Technical Manager and Architect, nGenera Corporation

A Fresh Approach to Forecasting Mortgages: Developing New Models in Mathematica