6 research outputs found
Timed tuplix calculus and the Wesseling and van den Bergh equation
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.Comment: 17 pages; phrasing improved, references updated; substantially
improved; remarks adde
Timed tuplix calculus and the Wesseling and van den Bergh equation
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.
Timed Tuplix Calculus and the Wesseling and van den Bergh Equation β
Abstract. 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