Financial Engineering with Mathematica

NOTE: I no longer support this page
though I still work a lot with Mathematica

Zvi Wiener of the Hebrew University and I have published 6 small articles in Mathematica in Education and Research (this nice publication has since gone out of print). Much of this material had its origins in a course on financial engineering which we developed. All of these papers are downloadable from this site:

• The binomial option pricing model
• Black-Scholes and exotic options
• Dynamic hedging strategies
• Term structure of interest rates
• Binomial term structure models
• Value-at-Risk

Wiener and Markus Leippold have written two lovely papers on Mathematica and term structure models:

• Hedging and valuation using the Ho-Lee model
• The Hull-White trinomial term-structure model

"On Trinomial Trees for One-Factor Short Rate Models" is a new Wiener-Leippold piece.  

Tomas Björk (Stockholm), Zvi Wiener (Jerusalem), and Simon Benninga (Tel-Aviv) have recently published paper on the use of numeraire methods (Journal of Derivatives 2000).  [If you're downloading this file, be forewarned:  it's 3MB!]

Other materials on Mathematica and finance:

• Take a look at William Shaw's book, Modelling Financial Derivatives with Mathematica. This is an extraordinary encyclopedia of option pricing techniques.
• Two volumes from Hal Varian
• Economic and Financial Modeling with Mathematica
• Computational Economics and Finance

Both of these can be ordered from Hal's book page.

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