Simulation - Software Development
MathConsult is a company which has specialized on the development of software
based on mathematics and numerics.
UnRisk PRICING ENGINE for Mathematica
MathConsult has developed the UnRisk PRICING ENGINE for Mathematica, the velocity and
precision solution for the pricing of financial derivatives.
www.unriskderivatives.com
Customized Software
We have succesfully worked on projects in the following
areas:
- Numerical Simulation in Process Engineering
- Optimal Design of Mechanical Components
- Numerical Calculation of Physical Fields
- Pricing of Financial Derivatives
| American Option |
| Volatility Curve |
Share Price |
Calculation Results |
| |
|
|
|
|
|
|
|
not-exercise |
| Vol Terms |
Volatilities |
S |
Value |
Delta |
Gamma |
Theta |
Vega |
probability at |
| |
|
|
|
|
|
|
|
expiry |
| 30 |
23.00% |
60 |
0.03110 |
0.8282% |
0.0019 |
-0.0005 |
0.01356 |
99.5106% |
| 91 |
22.00% |
65 |
0.10383 |
2.2799% |
0.0041 |
-0.0013 |
0.03496 |
98.5504% |
| 183 |
21.50% |
70 |
0.28186 |
5.1353% |
0.0074 |
-0.0027 |
0.07302 |
96.5131% |
| 365 |
20.00% |
75 |
0.64714 |
9.8367% |
0.0114 |
-0.0048 |
0.12864 |
92.9101% |
| Yield Curve |
80 |
1.29774 |
16.5338% |
0.0153 |
-0.0073 |
0.19603 |
87.4285% |
| Terms |
Yield |
85 |
2.32857 |
24.9804% |
0.0183 |
-0.0099 |
0.26545 |
80.0716% |
| 1 |
5.123% |
90 |
3.81466 |
34.6106% |
0.0200 |
-0.0122 |
0.32426 |
71.1844% |
| 30 |
5.126% |
95 |
5.79625 |
44.6907% |
0.0201 |
-0.0137 |
0.36371 |
61.3636% |
| 91 |
5.243% |
100 |
8.27912 |
54.5124% |
0.0190 |
-0.0143 |
0.38011 |
51.3024% |
| 182 |
5.255% |
105 |
11.23498 |
63.5177% |
0.0169 |
-0.0140 |
0.37285 |
41.6419% |
| 365 |
5.346% |
110 |
14.61321 |
71.3656% |
0.0144 |
-0.0130 |
0.34700 |
32.8673% |
| 730 |
5.391% |
115 |
18.35192 |
77.9243% |
0.0118 |
-0.0115 |
0.30874 |
25.2696% |
| 1096 |
5.433% |
120 |
22.38667 |
83.2264% |
0.0094 |
-0.0098 |
0.26415 |
18.9540% |
| 1461 |
5.496% |
125 |
26.65789 |
87.4080% |
0.0074 |
-0.0080 |
0.21854 |
13.8850% |
| 1826 |
5.555% |
130 |
31.11387 |
90.6576% |
0.0057 |
-0.0062 |
0.17531 |
9.9325% |
- Risk Analysis of Security Holdings
- Statistical Analysis in the Area of Quality Control
For a selection of our projects, click
here.
Research - Development - Technology
In 1996, MathConsult GmbH was founded by
Dipl.-Ing. Dr. Heinz Engl,
Full Professor for Industrial Mathematics at the University of Linz, as a technology
transfer institution.Since then we have been working successfully on problems arising from
the fields of engineering and finance. Our close cooperation with the
Industrial Mathematics Institute guarantees that the state of the art in mathematical
modelling and scientific computing is utilized for our developments.
Contact
Dr. Andreas Binder
MathConsult GmbH
Altenbergerstr.69
A-4040 Linz
Austria
Tel.: +43 (0)732 - 2468-4210
Fax.: +43 (0)732 - 2468-4239
email:
binder@mathconsult.co.at