Mathematica Notebooks and related material

(check back for more info – this is just getting started!)

 See my papers page as well.....

Sydney QMF 2006 presentation on distributional alchemy and related applications of computer algebra to Monte Carlo methods (Sydney, Australia, Dec 2006) [Mathematica Notebook of presentation] [Key Words: Student Distribution, Distributional alchemy, Cornish Fisher expansion,  Gram Charlier expansion, Skew Normal Distribution]

Shaw, W.T., 2006, Complex Analysis with Mathematica (book), Cambridge University Press. Publication date April 2006: CUP link and further information.

Shaw, W.T., 2006, Sampling Student’s T distribution – use of the inverse cumulative distribution function. Journal of Computational Finance, Vol 9 Issue 4, pp 37-73, Summer 2006  On-line supplements to this article are available here. [Key words: Student, Student’s T Distribution, T-Distribution, Inverse CDF, Inverse Cumulative Distribution Function, Quantile, T-Quantile, Simulation, Monte Carlo, Copula]

Shaw, W.T., 2006, Stochastic Volatility – Models of Heston type. Lecture in Mathematica, including yet another approach to the branch-cut issue. Also as PDF. (Revised version of 2003 note). This is now available in a Mathematica 7 compatible version with further comments on the branch cut. PDF, and M7 Notebook

Shaw, W.T., 2004. Recovering holomorphic functions form their real or imaginary parts without the Cauchy-Riemann equations, SIAM Review 46 (4), 717-728. A Mathematica notebook containing demonstrations of how this works, together with additional functions to manage harmonic conjugates purely algebraically, is also available as a Mathematica Notebook

Shaw, W.T., 2002, Accurate Pricing of Asian Options by Contour Integration Including Efficient Methods for Low Volatility. Working Paper. [Mathematica Notebook]

Shaw, W.T., 2000, A Reply to Pricing Continuous Asian Options by Fu, Madan and Wang. Working Paper. [Mathematica Notebook]