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Why we use Mathematica for prototyping 

Rapid-Development Language
  • Symbolic and numerical environment with 1500
    symbols/objects for the mathematical oriented modelling
  • statistical and numerical add-ons available
  • completely programmable, extensible system
  • integrated/extensible help system
  • able to handle large data sets

 

Calculation and Visualization of vega for Black-Scholes type european call options:

Calculation of vegaVisualization of vega


 

CreditExposure

 

 

Dependency of
credit exposure on
speed-of-adjustments

 


 
Comfortable documentation system
  • desktop publishing capabilities
  • powerful editor for formulas
  • allows to build static and dynamic web pages
We extend Mathematica for our purposes

 

Delta profile for a portfolio consisting of a FloatingStrikeOption long and a Softbarrier-Option short:

Delta profile for a portfolio                                                          


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