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Potential Future Exposure Calculations Using the BGM Model
Within this paper the authors look at the BGM model in PFE calculations for various exotic interest rate products.
Thu 18 Jul 2019
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.
Mon 12 Sep 2016
Portfolio Credit Risk: Introduction
This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.
Thu 2 Jun 2016
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.
Wed 29 Apr 2015
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.
Wed 8 Apr 2015
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.
Wed 25 Mar 2015
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).
Thu 12 Feb 2015
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.
Fri 4 Apr 2014
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.
Fri 4 Apr 2014
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.
Fri 4 Apr 2014
