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Analytical methods for exposure measurment

Posted 10 years ago

Analytical approach to derivatives exposure is less common in practice, however for vanilla contracts where the future rate process can be defined in terms of known functions, it can bring certain advantages. Clarity, intuition and tidiness are prime examples. Mathematica 10 is perfectly suited for this task since its symbolic engine is robustly designed and optimised to handle these tasks efficiently.


POSTED BY: Igor Hlivka
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Actually, none of the links to your articles in MathSource seem to be working

POSTED BY: Michael Kelly

Thank you,Rubén,for letting me know the link problem. Regards Igor

POSTED BY: Igor Hlivka

Hi Igor, I'd like to let you know that unfortunately the link in is broken:

Regards, Ruben

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