Dragisa-Zunic automated-reasoning-finance
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The document discusses advancements in formal reasoning about financial derivatives, highlighting key research from 2000 to 2015 that contributed to the field. Notable projects, including Lexifi's 'Instrument Box' and the Imandra tool for formal verification, demonstrate practical applications of this research in pricing and analyzing financial contracts. The focus is on the development of combinator libraries and semantics for describing and managing financial agreements efficiently.
Dragisa-Zunic automated-reasoning-finance
- 1. Formal reasoning about financial derivatives - introduction - Dragiˇsa ˇZuni´c Project Meta-CLF2 - reading group Carnegie Mellon University Qatar IT University of Copenhagen February 13, 2017. £ 1 / 29
- 2. General context including (known) commercial aspects in the year 2000 : Peyton Jones, Eber and Seward, published an article “Composing contracts : an adventure in financial engineering” (at ICFP) related research, eg. in 2009 : “Commercial uses : going functional on exotic trades”, by Frankau, Spinellis et al. (in JFP) recent research from 2015 : “Certified symbolic management of financial multi-party contracts”, by Bahr, Berthold and Elsman” (at ICFP) £ 2 / 29
- 3. General context including (known) commercial aspects LexiFi, by Jean Marc Eber (Paris, since 2000.) ; relies on Peyton Jones, Seward and Eber’s research Provides a software for pricing and management of derivatives and structured products “Instrument box”, as a core product, can be embedded into 3rd party applications ; LexiFi’s “instrument box” used by Bloomberg platform, since 2016. £ 3 / 29
- 4. General context including commercial aspects Aesthetic Integration (London, since 2015), by G. Passmore and D. Ignatovich ; won a finance technology competition among 600 projects worldwide Given a model and a property to reason about, Imandra works to generate a proof that the property will always hold, or to present a concrete counterexample identifying how the property may be violated. Fomal verification on ethereum. “Imandra” as a core product £ 4 / 29
- 5. paper presented at the International Conference on Functional Programming, ICFP, 2000 in Montreal won the best-paper award, I think £ 5 / 29
- 6. Composing contracts : an adventure in financial engineering introduce a combinator library that allows to describe financial contracts and a compositional denotational semantics that says what such contracts are worth Using Haskell for implementation £ 6 / 29
- 7. Composing contracts : an adventure in financial engineering introduce a combinator library that allows to describe financial contracts and a compositional denotational semantics that says what such contracts are worth Using Haskell for implementation £ 6 / 29
- 8. Composing contracts : an adventure in financial engineering introduce a combinator library that allows to describe financial contracts and a compositional denotational semantics that says what such contracts are worth Using Haskell for implementation £ 6 / 29
- 9. Composing contracts : an adventure in financial engineering introduce a combinator library that allows to describe financial contracts and a compositional denotational semantics that says what such contracts are worth Using Haskell for implementation £ 6 / 29
- 10. Composing contracts : an adventure in financial engineering introduce a combinator library that allows to describe financial contracts and a compositional denotational semantics that says what such contracts are worth Using Haskell for implementation £ 6 / 29
- 11. companies have these in a catalogue - as prefabricated components often people need a contract that is not in the catalogue £ 7 / 29
- 12. Question : can all these be defined using a set of precisely specified set of primitives or combinators ? If yes, then we can describe new, unforseen, contracts can systematically analyze and perform computation over the new contracts £ 8 / 29
- 13. Getting started - a contract illustration Zero-coupon bond (zcb) : “ Receive GBP 100 on 1st January 2010” We can specify this contract as : c1 :: Contract c1 = zcb t1 100 GBP Where zcb is of type: zcb :: Date -> Double -> Currency -> Contract £ 9 / 29
- 14. Getting started £ 10 / 29
- 15. Getting started - combining contracts : and £ 11 / 29
- 16. Getting started - combining contracts : give £ 12 / 29
- 17. Getting started - combining contracts : a new combinator £ 13 / 29
- 18. £ 14 / 29
- 19. Primitives for defining § ¦ ¤ ¥contracts £ 15 / 29
- 20. Primitives for defining § ¦ ¤ ¥contracts £ 16 / 29
- 21. Primitives for defining § ¦ ¤ ¥contracts £ 17 / 29
- 22. Primitives for defining § ¦ ¤ ¥contracts £ 18 / 29
- 23. Primitives for defining § ¦ ¤ ¥contracts £ 19 / 29
- 24. Primitives for defining § ¦ ¤ ¥contracts £ 20 / 29
- 28. Compositional evaluation semantics for § ¦ ¤ ¥contracts £ 24 / 29
- 29. Evaluation semantics for § ¦ ¤ ¥observables £ 25 / 29
- 30. Model primitives 1 of 2 £ 26 / 29
- 31. Model primitives 2 of 2 £ 27 / 29
- 32. Definition of horizon £ 28 / 29
- 33. Sources Composing contracts : an adventure in financial engineering → http://dl.acm.org/citation.cfm?id=351267 Certified symbolic management of financial multi-party contracts → http://dl.acm.org/citation.cfm?id=2784747 Thanks! £ 29 / 29