Timed tuplix calculus and the Wesseling and van den Bergh equation

Details Timed tuplix calculus and the Wesseling and van den Bergh equation Timed tuplix calculus and the Wesseling and van den Bergh equation

2009-01-20

arxiv.org/abs/0901.3003v2

Economy

Quantitative Finance

General Finance

14 pages; phrasing improved, references updated

Scientific paper

We formalize a cumulative interest compliant conservation requirement for pure financial products proposed by Wesseling and van den Bergh to make financial issues relating to these products amenable to mathematical analysis. The formalization is given in a timed extension of tuplix calculus and abstracts from the idiosyncrasies of time measurement. We also use the timed tuplix calculus to show how wanted financial behaviours may profit from using pure financial products.

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