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ARTWare® - Symbolic Manipulators:

Maxima® and  Mathematica®

Available at the ARTShop

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"Symbolic manipulators" are special programs that "understand formulas" and can be used to create "live documents".   Maxima® and Mathematica® Notebooks are "live" documents (see illustration here) that look like "text", but the formulas, analysis, and graphics can be evaluated in real time with your inputs and edits.  For example, the ARTicles: Static Hedging & Structuring 101 - Using Maxima®  and TG2 Exotic Options Mathematica® Notebook  include documents that also provides "live evaluation" of pricing/hedging Vanilla and Exotic options, as well as some structured products, and permit various hedging/portfolio strategy analysis. 

When/why do I need a Symbolic Manipulator (on the trading floor)?  This is discussed and answered in ARTicles: Static Hedging & Structuring 101 - Using Maxima® .

This type of "symbolic" implementation of securities and derivatives valuation, risk, and position analysis is not meant to replace the standard  day-to-day "ticketing" or "position keeping" machinery.  Rather, it is a useful tool to provide fast analysis of models, structures, hedging strategies, and related matters.  It is also an excellent tool for creating presentations to clients, shareholders, regulators, or for training purposes.

Currently there are three such packages available:

TG2 Exotic Options "Complementary" Edition. This is an abridged "complementary" version (also available as part of ARTSchool and TG2Books).

ARTicles: Static Hedging & Structuring 101 - Using Maxima® : "live" notebook and calculator for basic vanilla & exotic options static replication and structuring.

ARTWare Symbolic Analysis Edition. This is the "full" commercial version

 

Maxima® is free! Yes, it really is free, and its very good, though not as fully featured as the commercial packages.  Maxima® is available at maxima.sourceforge.net/index.shtml.

To use Mathematica® documents you will need either the Mathematica® package, or the FREE MathReader® available from www.wolfram.com .  The "free reader" has restrictions and while it permits viewing etc, it does not permit full evaluation of the expressions and code. 

Contribution and Participation

We welcome your participation and contribution.  For example, anyone interested in producing a Maxima® or Maple® version of the "Complementary" or commercial Mathematica® Notebooks should contact ARTWare@Arbitrage-Trading.com.  Under suitable arrangements we will provide the support, code, and related assistance, and will also post/distribute the results as agreeable, with the credit etc to you.

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Available at the ARTShop

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**Pr/rO  is also included as part of the ARTPr/rO advisory service.