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VALUATION OF CONTINGENT FINANCIAL CLAIMS USING DECLARATIVE PROGRAMMING TECHNIQUES
VALUATION OF CONTINGENT FINANCIAL CLAIMS USING DECLARATIVE PROGRAMMING TECHNIQUES
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机译:使用描述性编程技术对或有金融债权进行评估
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摘要
Systems, methods, and computer-readable media are provided relating to computing financial values for contingent claims. A declarative programming language is provided that comprises several primitives. A program according to such a language may combine primitives to create a description of a contingent claim or type of contingent claims. Such a program may be compiled into an executable form and, when executed, may calculate a financial value for a claim. Calculation of the financial value may make use of mathematical models, techniques, or both, including statistical and Monte Carlo methods.;A program may declare one or more parameters to be supplied at execution time, and the computed value may depend on the supplied values of some or all of the parameters.
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