Mathematica and Diffusions

  • J. Michael Steele
  • Robert A. Stine


A central aim of this chapter is to illustrate how symbolic computing can simplify or eliminate many of the tedious aspects of the stochastic calculus. The package Di f fusion .m included with this book provides a suite of functions for manipulating diffusion models, and individuals with a basic knowledge of Mathematica should be able to use this package to expedite many of the routine calculations of stochastic calculus. After demonstrating the basic features of this package, we give an extensive example that applies the functions of the package to a problem of option-pricing.


Symbolic Computation Infinitesimal Generator Stochastic Calculus European Option Accessor Function 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Arnold, L. (1974). Stochastic Differential Equations: Theory and Applications. Wiley, New York.MATHGoogle Scholar
  2. Duffie, D. (1988). Security Markets. Academic Press, New York.MATHGoogle Scholar
  3. Steele, J. M. and R. A. Stine (1991). “Applications of Mathematica to the stochastic calculus.” In American Statistical Association, Proceedings of the Statistical Computing Section. 11–19. Amercian Statistical Association. Washington. D.C.Google Scholar
  4. Miller, R. (1990). “Computer-aided financial analysis: an implementation of the Black Scholes model.” Mathematica Journal, 1, 75–79.Google Scholar

Copyright information

© Springer Science+Business Media New York 1993

Authors and Affiliations

  • J. Michael Steele
  • Robert A. Stine

There are no affiliations available

Personalised recommendations