MathFinance Front Office Technology

MathFinance Educational Tools for Quantitative Finance

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Overview

  1. FORTRAN
  2. C/C++
  3. C#
  4. Excel/Visual Basic
  5. Mathematica
  6. Octave / Matlab
  7. Building dynamic link libraries
  8. Javascript
  9. Java
  10. Webdesign links
  11. Gnu and C Library
  12. Latex - Scientific Publication
  13. Irfan - Ghostscript Viewer
  14. View an up-and-out call
  15. File Splitter
  16. PGP
  17. PDE2D, by Granville Sewell
  18. Online Regression Analysis by TotalSum
  19. Scilab - A Free Scientific Software Package
  20. R Project - A Free Statistical Tools Package
  21. Rmetrics an open source collection of software packages which may be useful for teaching Financial Engineering and Computational Finance. The functions are available for R, GNU's S.
  22. General Algebraic Modeling System (GAMS) - a high-level modeling system for mathematical programming problems. It consists of a language compiler and a stable of integrated high-performance solvers. GAMS is tailored for complex, large scale modeling applications, and allows you to build large maintainable models that can be adapted quickly to new situations.
  23. Software Providers and Consultants

FORTRAN 90 sample source code is provided for the Cox-Ross-Rubinstein binomial model for American and European put and call options, the analytic Black-Scholes formula with Greeks for European put and call options, a Monte Carlo simulator for Asian options. You can also find auxiliary functions involving the standard normal distribution, a volatility inverter and the Cardano formula. For online calculations see our  optioncalculator.html. A FORTRAN compiler (30 day evaluation free) is available from http://www.nasoftware.co.uk/fortran-plus/download.html. (top)
Fortran Source Check is available for free at http://www.lahey.com/check.htm.

C++ sample source code and an executalbe file is provided to value spread options. There are several auxiliary functions involving the normal distribution such as

  1. cumulative standard normal distribution functions in one and two dimensions
  2. invers of the cumulative standard normal distribution function.
  3. Gauss-Legendre numerical integration
  4. Black-Scholes Formula

Cody's highly accurate Algorithm in C++ source code for the cumulative normal distribution and its inverse.

C++ sample source code is provided to value vanilla options in Heston's stochastic volatility model.

For an introduction to C see Peter Bauer's lecture notes (in German, Goethe-University Frankfurt) at
http://www.math.uni-frankfurt.de/~pbauer/ck-ss00/. (top)

A variety of mathematical topics, algorithms and software in C++ is available on http://www.crbond.com/math.htm.

An excellent and free source of a C/C++-compiler with lots of classes to handle and visualize data is available on http://www.smartquant.com.

Another free source of a Visual Studio C++ compiler is Visual Studio Express.

Another free source of a C-compiler is LCC-Win32.


Numerical Recipes in C#.

Visual Basic (top)

  1. source code to compute one- and two-dimensional standard normal distribution functions and densities
  2. For a course on visual basic for applications and Excel tips see http://www.vbe-home.de/vba/index1_nc.htm and http://www.j-walk.com/ss/excel/tips/index.htm/
  3. A list of recommended VBA pages
  4. Monte Carlo Excel Sheet with Parser. It is possible to write the payoff formula as a string, and the VBA macro transforms it in a mathematical function which is used in the Monte Carlo routine.

Mathematica sources (top)

  1. The Black-Scholes Formula in Mathematica and how to use Packages
  2. Pricing and Greeks in Heston's model, Testing Environment - HestonTestEnv.nb
  3. Pricing and Greeks in Heston's model, Package - HestonVanilla.m
  4. Unified Pricing of Asian Options - Implementation by Jan Vecer
  5. http://www.wolfram.com
  6. Dr. Roman Mäder's http://www.mathconsult.ch
  7. To learn about fractional Brownian motion see http://didaktik.phy.uni-bayreuth.de/mathematica/meader_2/htmls/2-08.htm or
    http://www.mathconsult.ch/showroom/pubs/MathProg/htmls/2-08.htm
  8. MathCode C++: Generates Optimized C++ Code from Mathematica Programs

Octave (top) GNU Octave is a high-level language, primarily intended for numerical computations. More information and the free software is available at http://www.octave.org. It is mainly compatible with Matlab. An example for an octave/matlab implementation can be found here.

Dynamic Link Library usage in Microsoft Excel/Visual Basic. (top)

How to create online calculators using Javascript, Andreas Weber explains (in German only). You can also value American options here online. (top) Some more javascript formulae and online option pricing can be found on http://www.webrisk.net.

Java Homepage und Tutorial can be found at http://java.sun.com/ (top).

Links related to Web Designing (top)

Links to search-and meta-search-engines:

Gnu and C Library (top)

Latex - Scientific Publication (top)

Irfan Ghostscript Viewer (top)

View an up-and-out call barrier option value (top)

A File Splitter is available from http://www.tomasoft.com. (top)

PGP Freeware is available from http://www.pgpi.org/cgi/download.cgi?filename=PGPfreeware602i.exe.(top)

PDE2D package to solve partial differential equations, by Granville Sewell. http://members.aol.com/pde2d. (top)

Total Sum (http://www.totalsum.com) - one of the very few and perhaps the very best of all sites to provide online regression scenario analysis

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