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Pricing Bermudan Swaptions on the LIBOR Market Model

In this article, Stef Maree and Jacques du Toit examine using the Stochastic Grid Bundling Method to price a Bermudan swaption driven by a one-factor LIBOR Market Model.

Stef Maree & Jacques du Toit
Mon 12 Sep 2016
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Portfolio Credit Risk: Introduction

This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.

Guillermo Navas-Palencia
Thu 2 Jun 2016
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Backtesting Trading Strategies Using Wolfram Finance Platform

This white paper explores one possibility for evaluating portfolio performance using the Wolfram Finance Platform, describing it's thought process.

Wolfram
Wed 29 Apr 2015
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Local Volatility FX Basket Option on CPU and GPU

In this article, Jacques du Toit and Isabel Ehrlich study a basket option written on 10 FX rates driven by a 10 factor local volatility model.

Jacques du Toit & Isabel Ehrlich
Wed 8 Apr 2015
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CUDA Programming Using Wolfram Finance Platform

This document describes the benefits of CUDA integration in Wolfram Finance Platform and provides some applications for which it is suitable.

Wolfram
Wed 25 Mar 2015
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Solving partial differential equations using the NAG Library

In this article, Jeremy Walton from the Numerical Algorithms Group, describes some applications of the NAG Library to the solution of Partial Differential Equations (PDEs).

Jeremy Walton
Thu 12 Feb 2015
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Identifying Business Cycles Using RLink in Wolfram Finance Platform

In this white paper, Wolfram demonstrate the use of RLink by identifying business cycles that affect stock markets for periods generally lasting about four years.

Wolfram
Fri 4 Apr 2014
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Financial Option Prices in Excel

In this article, both Marcin and Jeremy discuss the use of algorithms from the NAG Library to calculate prices for financial options.

NAG
Fri 4 Apr 2014
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Exact First- and Second-Order Greeks by Algorithmic Differentiation

In this article, The Numerical Algorithms Group (NAG) work very closely with Uwe Naumann to help users take advantage of Algorithmic Differentiation methods.

NAG
Fri 4 Apr 2014