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arXiv 0901.3003q-fin.GNcs.LO
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赋时tuplix演算与Wesseling和van den Bergh方程

Timed tuplix calculus and the Wesseling and van den Bergh equation

J. A. Bergstra, C. A. Middelburg

摘要:

我们开发了一个代数框架来描述和分析金融行为,即在计划时间内转移一定数量的资金的行为。在很大程度上,对金融产品的分析就是对这些行为的分析。我们正式的累积利息符合保存要求的金融产品提出的Wesseling和van den Bergh的方程的框架开发和定义的概念,金融产品的行为,使用这种形式化。我们还介绍了金融产品行为的一些特性。该框架的发展受到了以前的工作的进程代数ACP。

英文摘要:

We develop an algebraic framework for the description and analysis of financial behaviours, that is, behaviours that consist of transferring certain amounts of money at planned times. To a large extent, analysis of financial products amounts to analysis of such behaviours. We formalize the cumulative interest compliant conservation requirement for financial products proposed by Wesseling and van den Bergh by an equation in the framework developed and define a notion of financial product behaviour using this formalization. We also present some properties of financial product behaviours. The development of the framework has been influenced by previous work on the process algebra ACP.

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