LIPIcs, Volume 244, ESA 2022, Complete Volume

LIPIcs, Volume 244, ESA 2022, Complete Volum

Computer Aided Verification

The open access two-volume set LNCS 12224 and 12225 constitutes the refereed proceedings of the 32st International Conference on Computer Aided Verification, CAV 2020, held in Los Angeles, CA, USA, in July 2020.* The 43 full papers presented together with 18 tool papers and 4 case studies, were carefully reviewed and selected from 240 submissions. The papers were organized in the following topical sections: Part I: AI verification; blockchain and Security; Concurrency; hardware verification and decision procedures; and hybrid and dynamic systems. Part II: model checking; software verification; stochastic systems; and synthesis. *The conference was held virtually due to the COVID-19 pandemic

Efficient valuation of exotic derivatives with path-dependence and early exercise features

The main objective of this thesis is to provide effective means for the valuation of popular financial derivative contracts with path-dependence and/or early-exercisable provisions. Starting from the risk-neutral valuation formula, the approach we propose is to sequentially compute convolutions of the value function of the contract at a monitoring date with the transition density between two dates, to provide the value function at the previous monitoring date, until the present date. A rigorous computational algorithm for the convolutions is then developed based on transformations to the Fourier domain. In the first part of the thesis, we deal with arithmetic Asian options, which, due to the growing popularity they enjoy in the financial marketplace, have been researched signicantly over the last two decades. Although few remarkable approaches have been proposed so far, these are restricted to the market assumptions imposed by the standard Black-Scholes-Merton paradigm. Others, although in theory applicable to Lévy models, are shown to suffer a non-monotone convergence when implemented numerically. To solve the Asian option pricing problem, we initially propose a flexible framework for independently distributed log-returns on the underlying asset. This allows us to generalize firstly in calculating the price sensitivities. Secondly, we consider an extension to non-Lévy stochastic volatility models. We highlight the benefits of the new scheme and, where relevant, benchmark its performance against an analytical approximation, control variate Monte Carlo strategies and existing forward convolution algorithms for the recovery of the density of the underlying average price. In the second part of the thesis, we carry out an analysis on the rapidly growing market of convertible bonds (CBs). Despite the vast amount of research which has been undertaken yet. This is due to the need for proper modelling of the CBs composite payout structure and the multi factor modelling arising in the CB valuation. Given the dimensional capacity of the convolution algorithm, we are now able to introduce a new jump diffusion structural approach in the CB literature, towards more realistic modelling of the default risk, and further include correlated stochastic interest rates. This aims at fixing dimensionality and convergence limitations which previously have been restricting the range of applicability of popular grid- based, lattice and Monte Carlo methods. The convolution scheme further permits flexible handling of real-world CB specications; this allows us to properly model the call policy and investigate its impact on the computed CB prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps

Computer science: the hardware software and heart of IT

1st edition, 201

Combining SOA and BPM Technologies for Cross-System Process Automation

This paper summarizes the results of an industry case study that introduced a cross-system business process automation solution based on a combination of SOA and BPM standard technologies (i.e., BPMN, BPEL, WSDL). Besides discussing major weaknesses of the existing, custom-built, solution and comparing them against experiences with the developed prototype, the paper presents a course of action for transforming the current solution into the proposed solution. This includes a general approach, consisting of four distinct steps, as well as specific action items that are to be performed for every step. The discussion also covers language and tool support and challenges arising from the transformation