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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.
Portfolio Credit Risk: Introduction
This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.
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.
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.
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.
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).
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.
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.
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.
