A Graph Transformation Approach to the Modelling of Capital Markets
Résumé
We propose to use strategic port-graph rewriting as a visual modelling tool to analyse credit derivative markets. We illustrate the approach by specifying a basic " rational negligence " model in which investors may choose to trade securities without performing independent evaluations of the underlying assets. We show that our model is correct with respect to the equational model and can be used to simulate simple market behaviours. The model has been implemented within PORGY, a graph-based specification and simulation environment.
Origine : Fichiers produits par l'(les) auteur(s)
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