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Communication Dans Un Congrès Année : 2018

Implementation of a continuous-in-time financial model

Résumé

SOFI is a software tool marketed by the company MGDIS. It is designed to the public institutions such local communities to set out multiyear budgets. SOFI is based on a discrete financial modeling. Consequently, the default of SOFI is using tables of type Excel. We build in [1, 4] a new model with using an other paradigm. This new model is based on continuous-in-time modeling and uses the mathematical tools such convolution and integration, etc. We study in [2, 5, 6] the inverse problem of this model on the space of square-integrable functions defined on a compact, and on radon measure space. We have developed in [3] two industrials libraries to implement measures and fields for the continuous-in-time financial model. In this presentation, we describe how we impelement and check this API. We called them LemfAN (Library Embedded Finance And Numerical Analysis) and Lemf (Library Embedded Finance). The integration and the validation of these libraries in SOFI are succefully made.
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Dates et versions

hal-01949337 , version 1 (17-01-2019)

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  • HAL Id : hal-01949337 , version 1

Citer

Tarik Chakkour. Implementation of a continuous-in-time financial model. 18ème Forum Jeunes Mathématiciennes et Mathématiciens Mathématiques et Sciences du Vivant, Nov 2018, Orléans, France. ⟨hal-01949337⟩
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