Questions on the financial functions of Mathematica.

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1
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2answers
128 views

In FinancialData what is the difference between FractionalChange and Change?

In FinancialData there are two similarly named properties one can request for a given stock symbol: Change and ...
6
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3answers
499 views

Share experiences, preferably the surprising ones, with using ItoProcess

Can people please share their experiences, preferably the surprising ones, with using ItoProcess? I am a big fan of ItoProcess and have already used it for several finance-related tasks, though I ...
2
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1answer
638 views

ItoProcess function

While looking in the help manual of Mathematica concerning the ItoProcess function I found the following: ItoProcess[{a,b,c},x,t]: represents an Ito Process y(t)=c(t,x(t)), where ...
0
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1answer
112 views

Counting Stochastic Processes and displaying relative value

Counting Stochastic Processes and displaying relative value I have two watermarks and multiple stochastic processes given. I want both to display and count the stochastic processes which are below ...
0
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1answer
357 views

Plotting the simulation of Brownian Motions with multiple thresholds

I have the following problem: I have a watermark in this model where not only the mean of all stochastic processes is calculated, but also the mean of those processes which remain beyond a given ...
0
votes
1answer
111 views

Displaying Values of Fuction at end of Period by Grid

My intention is to place the values of two function into a small box within my chart. To be more precise I have two vectors. A meanvector which shows the average value of all simulated stochastic ...
0
votes
1answer
173 views

Stopping- threshold and stopping- time of stochastic processes.

Rod Lm helped me to generate the following code, which I want to extend a little bit. So my intention is to use the threshold (the green line) as boundary in the following way: as soon as the process ...
0
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1answer
215 views

Brownian Motion with stopping threshold

I just want to generate one stochastic process, whereas I want to be able to manipulate the start value and the volatility. Furthermore, the process should stop when it reaches 5 However, as soon as ...
5
votes
1answer
567 views

Plot two functions within manipulate

I just want to plot all stochastic processes and their average process. The original code without the average is: ...
1
vote
1answer
208 views

Calculating mean of multiple stochastic processes and setting a lower threshold

Thanks to “Rod Lm” I got some very nice input for the following problem. My intention is to simulate within a Manipulate function a given number of possible stock ...
2
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0answers
349 views

Forecasting future Stock Prices II

I intend to do the following: I want to forecast future stock price under the following assumptions: The stock price is governed by the stochastic differential equation: dS = μSdt + σSdWt whereas ...
2
votes
2answers
1k views

Forecast Future Stock Prices - Brownian Motion - Again

excuse me, I think I have here a technical problem with Mathematica yesterday I posted the question with the title: Forecast Future Stock Prices - Brownian Motion I am still not very experienced but ...
0
votes
1answer
1k views

financial data behind Wolfram|Alpha and Finance Platform

I need to price 23,000 securities from 1999 to 2007, and they are surprisingly hard to find on subscription-based services, like Bloomberg LP, ThomsonReuters or S&P CapitalIQ offerings. Probably ...
2
votes
1answer
500 views

Can I customize a TradingChart?

What I would like to do is generate a chart similar to the TradingChart but to have two lines on it instead of the candlestick. The lines I want to plot will look something like this; And what I ...
6
votes
1answer
237 views

Under what conditions does FinancialData return a ::notent message?

I tried retrieving FinancialData for a few companies but when I tried doing it for NTDOY, I couldn't. As of 25/12/2012, querying ...
5
votes
1answer
132 views

How to retrieve the remaining cashflows from a FinancialBond object

I would like to get the cash flows and dates for the remaining coupons and principal repayment for a FinancialBond object. These must be calculated internally by ...
4
votes
0answers
203 views

FinancialData property value at a given date

I was trying to get the volatility value of a specific equity on a given day. Based on the Mathematica Help, the syntax is ...
0
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1answer
184 views

how to get modify the following correlation matrix with a specific list of financial prices?

The following takes the last 5 members of the Dow Jones index and plots the correlation matrix of the last 5 years of daily prices: ...
9
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2answers
3k views

Problem with Financial Data

I'm following http://reference.wolfram.com/mathematica/ref/FinancialData.html I get the following: In[6]:= DateListLogPlot[FinancialData["^DJI", All]] During ...
32
votes
6answers
5k views

Learning Finance with Mathematica

Background My math background is strong by CS standards, probably normal by mathematica standards. (i.e. familiarity with real analysis, linear algebra, managed to read the proof of the prime number ...
9
votes
1answer
230 views

How can I convert the dates returned by FinancialData into decimal representation?

I'm trying to run a regression using Fit on the output of FinancialData["SPY", "Jan. 1, 2011"]. However, the dates returned ...
6
votes
0answers
440 views

Increasing recursion speed in Hull-White trinomial tree calculation

First timer here and have been finding these boards very useful in learning Mathematica. I'm trying to implement a numerical procedure for the Hull-White trinomial tree in Mathematica. Despite using ...
14
votes
3answers
789 views

Mathematica usage (success stories) for financial back-ends

I've been working for about 5 years in Java, developing financial back-offices (web-services, business logic, report generation etc.). I think Mathematica is very suitable for such calculations and ...
8
votes
2answers
336 views

How do I define the “Coupon” within the function FinancialBond with a time-varying coupon

Is it possible using FinancialBond function to calculate the yield of a bond paying a gradual coupon ? An example : A bond with maturity of 7 years pays ...