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Modelling with Local Volatility
Simulating SVJJ Processes
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Multi-disciplinay environment for financial modelling
and analysis
The Maple™ Financial Modelling Toolbox complements Maple’s
multi-disciplinary environment with over 100 new commands, designed
specifically for quantitative financial modelling and analysis.
These can be combined with the existing Maple tools - including
ODE and PDE solvers, statistical data analysis and optimisation,
to produce analytical applications and product prototypes in the
Maple interactive document interface.
Application Areas
- Risk Analysis
- Portfolio Management
- Quantitative Analysis
- Model Validation/Vetting
- And more…
View Example Applications
Key Features
- Interactive technical document interface, with intuitive 2-D
equation editor for capturing and reusing knowledge as an informational
asset.
- Tools for creating and analysing term structures of interest
rates.
- Stochastic processes and simulation, and symbolic tools for
manipulating stochastic variables.
- Short-rate models and analytic formulas.
- Full access to Maple functionality including closed-form and
numeric ODE, PDE and DAE solvers, in addition to linear and non-linear
optimisation.
- Lattice methods, tools to construct binomial and trinomial trees.
Feature Details
Interactive Technical Document Environment
- Full documentation components (text, plots, images etc) that
incorporate the math into a fully documented, readable, interactive
application that captures the thinking behind its development,
for capturing and reusing knowledge as an informational asset
- Intuitive 2-D equation editor for typeset quality mathematical
representation
Access to Full Maple Functionality
- ODE, PDE and DAE solvers, Statistics and Optimization packages
and many more!
- Enhanced graphics for advanced visualisation
- Code generation capabilities to five languages:
- C, FORTRAN, Visual Basic®, JavaTM, MATLAB®
Specialised Command Sets
Tools for creating and analyzing term structures of interest rates
- Stochastic processes and simulation and symbolic tools for
manipulating stochastic variables including:
- Brownian motion (one- and multi- dimensional)
- Geometric Brownian motion
- Ornstein-Uhlenbeck process
- Square-root diffusion and Merton jump-diffusions
- Subordinated processes
- Gaussian Markov processes (one- and multi-dimensional)
- Poisson and Gamma process
- General Ito process defined by drift and volatility
- Lattice methods, tools to construct binomial and trinomial
trees, including equity trees and short-rate trinomial trees.
Implied binomial and trinomial trees
- Calendars, day counters, interest rates
- Basic instruments such as European, American and Bermudan options
– ability to specify payoff as a Maple procedure
- Bonds and swaps
System Requirements
Maple 11 |
(NAG)
