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MathGroup Archive 1999

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V4.0 Compatibility (Financial Derivatives book)

  • To: mathgroup at smc.vnet.net
  • Subject: [mg18645] V4.0 Compatibility (Financial Derivatives book)
  • From: william.shaw at nomura.co.uk
  • Date: Thu, 15 Jul 1999 01:45:40 -0400
  • Sender: owner-wri-mathgroup at wolfram.com

Dear MathGroup,

I have sent the following notices to various places on the net:

******************************************************************
Modelling Financial Derivatives with Mathematica:
Mathematica V4 Compatibility, Errata, and other Update Information
******************************************************************

A Mathematica notebook, compatible with versions 3.X and 4.0, is available that
 updates the material contained in the text, "Modelling Financial Derivatives
 with Mathematica." It contains

(a) a number of code patches to ensure compatibility with Mathematica V4.0;
(b) errata to the published version (as of July 1, 1999);
(c) other comments on interesting recent research.

This is available to download either from the CUP web site
 (www.cup.cam.ac.uk/052159233X) or from www.mathsource.com, from August 1999.
 The CUP site also contains an extract from a review published in the March 1999
 issue of "RISK".

(end of notice)

Early V4 adopters may find one or two things of interest here whether or not
 they are working on Finance. In particular, there are several changes in V4
 which cause code that plays nicely with V3 to break. Notably:

(i)   there is a compiler change which requires more variables to be initialized
 than was required in V3;
(ii)  there is a change to the way Integrate formats its output (that in my view
 is a BUG!) which causes outputs to be inadequetely simplified;
(iii) the Fourier and Laplace transform packages now have different default
 conventions (2 Pi's have relocated)

Anyone in a hurry can get it direct from me. 

William

william.shaw at nomura.co.uk

Dr. William T. Shaw
Quantitative Analysis Group
Nomura House
1 St. Martin's le Grand
London
EC1A 4NP

Tel: 0171-521-3618
Fax: 0171-521-3676


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