Stock loan with Automatic termination clause, cap and margin

This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared to stock loans without any constraints. The automatic termination clause, cap and margin are in fact a stop order set by the bank. Mathematically, it is a kind of optimal stopping problems arising from the pricing of financial products which is first revealed. We aim at establishing explicitly the value of such a loan and ranges of fair values of key parameters : this loan size, interest rate, cap, margin and fee for providing such a service and quantity of this automatic termination clause and relationships among these parameters as well as the optimal exercise times. We present numerical results and make analysis about the model parameters and how they impact on value of stock loan.Comment: 30 pages, 7 figure

Polytool: polynomial interpretations as a basis for termination analysis of Logic programs

Our goal is to study the feasibility of porting termination analysis techniques developed for one programming paradigm to another paradigm. In this paper, we show how to adapt termination analysis techniques based on polynomial interpretations - very well known in the context of term rewrite systems (TRSs) - to obtain new (non-transformational) ter- mination analysis techniques for definite logic programs (LPs). This leads to an approach that can be seen as a direct generalization of the traditional techniques in termination analysis of LPs, where linear norms and level mappings are used. Our extension general- izes these to arbitrary polynomials. We extend a number of standard concepts and results on termination analysis to the context of polynomial interpretations. We also propose a constraint-based approach for automatically generating polynomial interpretations that satisfy the termination conditions. Based on this approach, we implemented a new tool, called Polytool, for automatic termination analysis of LPs

Automatic Termination Analysis of Programs Containing Arithmetic Predicates

For logic programs with arithmetic predicates, showing termination is not easy, since the usual order for the integers is not well-founded. A new method, easily incorporated in the TermiLog system for automatic termination analysis, is presented for showing termination in this case. The method consists of the following steps: First, a finite abstract domain for representing the range of integers is deduced automatically. Based on this abstraction, abstract interpretation is applied to the program. The result is a finite number of atoms abstracting answers to queries which are used to extend the technique of query-mapping pairs. For each query-mapping pair that is potentially non-terminating, a bounded (integer-valued) termination function is guessed. If traversing the pair decreases the value of the termination function, then termination is established. Simple functions often suffice for each query-mapping pair, and that gives our approach an edge over the classical approach of using a single termination function for all loops, which must inevitably be more complicated and harder to guess automatically. It is worth noting that the termination of McCarthy's 91 function can be shown automatically using our method. In summary, the proposed approach is based on combining a finite abstraction of the integers with the technique of the query-mapping pairs, and is essentially capable of dividing a termination proof into several cases, such that a simple termination function suffices for each case. Consequently, the whole process of proving termination can be done automatically in the framework of TermiLog and similar systems.Comment: Appeared also in Electronic Notes in Computer Science vol. 3

A General Framework for Automatic Termination Analysis of Logic Programs

This paper describes a general framework for automatic termination analysis of logic programs, where we understand by ``termination'' the finitenes s of the LD-tree constructed for the program and a given query. A general property of mappings from a certain subset of the branches of an infinite LD-tree into a finite set is proved. From this result several termination theorems are derived, by using different finite sets. The first two are formulated for the predicate dependency and atom dependency graphs. Then a general result for the case of the query-mapping pairs relevant to a program is proved (cf. \cite{Sagiv,Lindenstrauss:Sagiv}). The correctness of the {\em TermiLog} system described in \cite{Lindenstrauss:Sagiv:Serebrenik} follows from it. In this system it is not possible to prove termination for programs involving arithmetic predicates, since the usual order for the integers is not well-founded. A new method, which can be easily incorporated in {\em TermiLog} or similar systems, is presented, which makes it possible to prove termination for programs involving arithmetic predicates. It is based on combining a finite abstraction of the integers with the technique of the query-mapping pairs, and is essentially capable of dividing a termination proof into several cases, such that a simple termination function suffices for each case. Finally several possible extensions are outlined

On the Termination of Linear and Affine Programs over the Integers

The termination problem for affine programs over the integers was left open in\cite{Braverman}. For more that a decade, it has been considered and cited as a challenging open problem. To the best of our knowledge, we present here the most complete response to this issue: we show that termination for affine programs over Z is decidable under an assumption holding for almost all affine programs, except for an extremely small class of zero Lesbegue measure. We use the notion of asymptotically non-terminating initial variable values} (ANT, for short) for linear loop programs over Z. Those values are directly associated to initial variable values for which the corresponding program does not terminate. We reduce the termination problem of linear affine programs over the integers to the emptiness check of a specific ANT set of initial variable values. For this class of linear or affine programs, we prove that the corresponding ANT set is a semi-linear space and we provide a powerful computational methods allowing the automatic generation of these $ANT$ sets. Moreover, we are able to address the conditional termination problem too. In other words, by taking ANT set complements, we obtain a precise under-approximation of the set of inputs for which the program does terminate.Comment: arXiv admin note: substantial text overlap with arXiv:1407.455

Extensions to the Estimation Calculus

Walther’s estimation calculus was designed to prove the termination of functional programs, and can also be used to solve the similar problem of proving the well-foundedness of induction rules. However, there are certain features of the goal formulae which are more common to the problem of induction rule well-foundedness than the problem of termination, and which the calculus cannot handle. We present a sound extension of the calculus that is capable of dealing with these features. The extension develops Walther’s concept of an argument bounded function in two ways: firstly, so that the function may be bounded below by its argument, and secondly, so that a bound may exist between two arguments of a predicate. Our calculus enables automatic proofs of the well-foundedness of a large class of induction rules not captured by the original calculus