Lorella
Fatone, Dipartimento di Matematica e Informatica,
Università di Camerino, Camerino, Italy,
Francesca Mariani, Dipartimento di Scienze Economiche, Università di Verona,
Verona, Italy,
Maria Cristina Recchioni, Dipartimento di Management, Università Politecnica
delle Marche, Ancona, Italy,
Francesco Zirilli, Dipartimento di Matematica G. Castelnuovo, Università di
Roma "La Sapienza ", Roma, Italy.
This website
contains a library of apps based on the research work in mathematical finance
of the authors. The apps run on devices using the Android software system. The
app library is organized as follows: each Mathematical Finance App (MFA) is
characterized by a progressive number and by a title and can be freely
downloaded clicking the corresponding button. A general reference to the work
of the authors and of their coauthors in mathematical finance is the website http://www.econ.univpm.it/recchioni/finance.
The
mathematical finance app store presentation VIDEO 2:20
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MFA 1.
Moments Hull and White model Content: This app
computes the first two moments of the asset price variable in the Hull and
White model. The moments are computed using two different approaches:
explicit formulae and Monte Carlo method. The explicit formulae used in the
app have been obtained in the paper: |
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MFA 2.
Moments SABR model Content: This app
computes the m-th moment (0 < m ≤
5) of the forward prices/rates variable in the SABR model with b Î (0,1). The moments are computed using two different
approaches: explicit formulae and Monte Carlo method. The explicit formulae
used in the app have been obtained in the paper: |
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MFA 3.
Optimal trading execution strategy Content: This app is
based on a model that describes the behaviour of a
big trader and of a multitude of retail traders operating on the shares of a
risky asset. The big trader wants to execute a liquidation order in a given
time interval. The app computes the optimal trading execution strategy of the
big trader, the mean value of the trading execution strategy of the retail
traders and the asset price dynamics. The previous quantities are computed
using explicit formulae obtained in the paper: |
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MFA 4.
American option prices and free boundaries Content: This app evaluates the price and the free boundary
of an American call or put option in the Black Scholes framework using a perturbation expansion
that has the Barone-Adesi, Whaley formula as zero-th order term. The Barone-Adesi, Whaley formula, the first order
approximation and
the second order approximation resulting from the perturbation expansion
of the price and of the free boundary of the American option considered are computed.
The app is based on formulae that have been deduced in the paper: |
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MFA 5.
A Dynamical Model of a Banking System Content: This app shows the trajectories of a stochastic dynamical
system describing an homogeneous population of banks. The trajectories represent the log-monetary reserves of the banks as
a function of time. Two distinct mechanisms are used in the banking system model to describe the cooperation between banks
and the cooperation between banks and monetary authority. These cooperation mechanisms produce a “swarming effect” in the
trajectories of the log-monetary reserves of the banks.
The banking system model used in this app has been introduced and studied in the paper: |
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MFA 6.
Moments of the Stein-stein model Content:This app
computes the m-th moment (0 ≤ m ≤
2) of the log-price variable of the Stein-Stein model. The moments are computed using two different
approaches: explicit formulae and Monte Carlo method. The explicit formulae
used in the app have been deduced in the paper: |
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