Tagged Questions

Questions related to quantifying risk and the allocation of assets and liabilities over time under conditions varying uncertainty--including questions on the use of the built-in financial functions of Mathematica.

474 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 ...
170 views

How can I program my own financial indicator to be plotted in a TradingChart?

FinancialIndicator["ind", par1, par2, ...] represents a financial indicator "ind" with parameters $par1$, $par2$, etc. All available financial indicators can be ...
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Wrong Cashflow of Annuity with initial payment

If we use TimeValue to look at the PV of an Annuity with initial payment: The initial payment ...
144 views

What is the signature for a callback function for FinancialIndicators?

I'd like to write my own indicators to use with functions like TradingChart. From the context, it's clear that one needs to write a function whose parameters ...
219 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 ...
63 views

CVaR Portfolio Optimization

I am looking for help on CVaR Portfolio Optimization based on the article . I have to solve the following problem: CVaR cannot be negative by design. Therefore, (a)+ is defined as max(a, 0). Withe ...
79 views

Possible bug in fetching price index data?

I seem only able to fetch price index data for the U.S. For example, the following fails (Mathematica 10.2): ...
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Why FinancialDerivative fails for the Spread case?

According to the documentation center for FinancialDerivative in version 10.4, when there are multi assets, we still may use ...
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How to find euro zone equivalent of treasury data in U.S. using FinancialData?

For example I use FinancialData["^TYX", "Price", {{2004}, {2014}, "Week"}]; to get data for U.S. treasury data, can I do the same for eurozone yield curve? I know I ...
202 views

How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica?

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
423 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 ...