Modelling Financial Derivatives with Mathematica

This text has a number of aims. The first is to how Mathematica(version 3 in particular),can be used as a derivatives modelling tool.Second, it presents a complete if concise development of the mathematical approach to the valuation and hedging of a large class of derivative securities.Third,although the basic mathematical deve lopment is oriented towards dynamic hedging and partial differetial equations,this book aims to present a balanced approach to algorithm development,in which analytical, finite-difference,tree and Mont Carlo method. Fourth,it is intended that this text collects together and highlight many of the mathematical pathologies that exist in derivatives modelling problems.This last point is all too frequently ignored,so a discussion here may be appropriate…. …

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