Igor Hlivka: New Applications
http://www.maplesoft.com/applications/author.aspx?mid=66303
en-us2015 Maplesoft, A Division of Waterloo Maple Inc.Maplesoft Document SystemFri, 30 Jan 2015 15:34:53 GMTFri, 30 Jan 2015 15:34:53 GMTNew applications published by Igor Hlivkahttp://www.mapleprimes.com/images/mapleapps.gifIgor Hlivka: New Applications
http://www.maplesoft.com/applications/author.aspx?mid=66303
Asian Options: Analytical Approach
http://www.maplesoft.com/applications/view.aspx?SID=6875&ref=Feed
Asian options are special case of standard financial options where the option's payoff depends on an average value of an underlying asset over the contract's life. The rationale for Asian options comes from various motivations - contrary to the standard option contract, the user may want / need an exposure to an average value of the underlying asset over the whole life of the contract rather than its terminal value.<img src="/view.aspx?si=6875/thumb.jpg" alt="Asian Options: Analytical Approach" align="left"/>Asian options are special case of standard financial options where the option's payoff depends on an average value of an underlying asset over the contract's life. The rationale for Asian options comes from various motivations - contrary to the standard option contract, the user may want / need an exposure to an average value of the underlying asset over the whole life of the contract rather than its terminal value.6875Mon, 10 Nov 2008 00:00:00 ZIgor HlivkaIgor HlivkaOptions with Foreign Exchange Adjustment
http://www.maplesoft.com/applications/view.aspx?SID=6874&ref=Feed
The document presents the methods used by market practitioners to adjust the financial instruments processes and options valuations when payoffs are converted into different currency. Foreign exchange adjustment in the financial options universe brings in additional stochastic factor that extends the traditional univariate space into bi-variate or even multi-variate setting. We show that key tool to handle this scenario is an appropriate change of probability measure. In this context we also discuss the essence of the Siegel Paradox and show the way to resolve it.<img src="/view.aspx?si=6874/Quanto Options_95.gif" alt="Options with Foreign Exchange Adjustment" align="left"/>The document presents the methods used by market practitioners to adjust the financial instruments processes and options valuations when payoffs are converted into different currency. Foreign exchange adjustment in the financial options universe brings in additional stochastic factor that extends the traditional univariate space into bi-variate or even multi-variate setting. We show that key tool to handle this scenario is an appropriate change of probability measure. In this context we also discuss the essence of the Siegel Paradox and show the way to resolve it.6874Mon, 10 Nov 2008 00:00:00 ZIgor HlivkaIgor HlivkaPerpetual Options
http://www.maplesoft.com/applications/view.aspx?SID=6688&ref=Feed
Standard financial options are always expressed in terms of pre-determined maturity. Option's contract life can be as short as few days and can run up to several years. On the other hand, perpetual options, as the name suggests, have no fixed maturity and no exercise limits. This makes perpetual options an interesting class of non-standard financial contracts that is worth examining from both theoretical and practical perspectives.<img src="/view.aspx?si=6688/1.jpg" alt="Perpetual Options" align="left"/>Standard financial options are always expressed in terms of pre-determined maturity. Option's contract life can be as short as few days and can run up to several years. On the other hand, perpetual options, as the name suggests, have no fixed maturity and no exercise limits. This makes perpetual options an interesting class of non-standard financial contracts that is worth examining from both theoretical and practical perspectives.6688Tue, 23 Sep 2008 00:00:00 ZIgor HlivkaIgor HlivkaExchange, Basket and Other Multi-Asset Options
http://www.maplesoft.com/applications/view.aspx?SID=6687&ref=Feed
This application demonstration reviews several classes of multi-asset options and as such extends the concept on multi-variability in Finance presented / discussed in other applications. Multi-variability is important concept in financial engineering as many non-standard structured products in the market are exposed to multiple source of randomness. Multi-variability is not trivial in terms of handling multiple dependencies, however suitable change of martingale measure and dimension-reduction techniques can help simplifying the multi-variable process into more manageable routines.
Although multi-dependency in many instances requires numerical processing, we will show that with Maple we can do better. Our aim is to devise an analytical solution to this problem and will show how Maple's symbolic engine can efficiently cope with this task.<img src="/view.aspx?si=6687/thumb2.jpg" alt="Exchange, Basket and Other Multi-Asset Options" align="left"/>This application demonstration reviews several classes of multi-asset options and as such extends the concept on multi-variability in Finance presented / discussed in other applications. Multi-variability is important concept in financial engineering as many non-standard structured products in the market are exposed to multiple source of randomness. Multi-variability is not trivial in terms of handling multiple dependencies, however suitable change of martingale measure and dimension-reduction techniques can help simplifying the multi-variable process into more manageable routines.
Although multi-dependency in many instances requires numerical processing, we will show that with Maple we can do better. Our aim is to devise an analytical solution to this problem and will show how Maple's symbolic engine can efficiently cope with this task.6687Tue, 23 Sep 2008 00:00:00 ZIgor HlivkaIgor HlivkaMultivariate Distributions In Maple
http://www.maplesoft.com/applications/view.aspx?SID=6352&ref=Feed
The document demonstrates the extension of Maple's comprehensive Statistical package into multivariate setting. It shows how Maple's symbolic analytics and numerical engines can be seamlessly applied in the field of multivariate statistics. The core concept of multivariate analysis - joint distributions - are discussed in the context of multivariate Normal distribution and particular aspects of "jointness" are presented through marginal and conditional densities. Extension of multinormality into related family of joint distributions is shown on the example of multivariate Student-t distribution.<img src="/view.aspx?si=6352/thumb2.jpg" alt="Multivariate Distributions In Maple" align="left"/>The document demonstrates the extension of Maple's comprehensive Statistical package into multivariate setting. It shows how Maple's symbolic analytics and numerical engines can be seamlessly applied in the field of multivariate statistics. The core concept of multivariate analysis - joint distributions - are discussed in the context of multivariate Normal distribution and particular aspects of "jointness" are presented through marginal and conditional densities. Extension of multinormality into related family of joint distributions is shown on the example of multivariate Student-t distribution.6352Tue, 17 Jun 2008 00:00:00 ZIgor HlivkaIgor HlivkaMAPLE in Finance
http://www.maplesoft.com/applications/view.aspx?SID=5064&ref=Feed
Many aspects of Financial Economics are technical in nature and require mathematical formulation to solve them.Extensive use of mathematical methods in Finance has led to the development of Mathematical Finance - a distinct subgroup of mathematical and statistical rules and theorems that deal with particular problems arising in financial analysis.
The purpose of this document is to demonstrate how Maple - with its powerful analytical engine and robust numerical routines - can be used to tackle various topics in Financial Economics / Mathematics, and lead to elegant solutions through its symbolic and numerical interfaces.<img src="/view.aspx?si=5064/thumb.jpg" alt="MAPLE in Finance" align="left"/>Many aspects of Financial Economics are technical in nature and require mathematical formulation to solve them.Extensive use of mathematical methods in Finance has led to the development of Mathematical Finance - a distinct subgroup of mathematical and statistical rules and theorems that deal with particular problems arising in financial analysis.
The purpose of this document is to demonstrate how Maple - with its powerful analytical engine and robust numerical routines - can be used to tackle various topics in Financial Economics / Mathematics, and lead to elegant solutions through its symbolic and numerical interfaces.5064Fri, 29 Jun 2007 00:00:00 ZIgor HlivkaIgor Hlivka