VALUATION OF CONTINGENT FINANCIAL CLAIMS USING DECLARATIVE PROGRAMMING TECHNIQUES
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United States of America Patent
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Issued Date -
Jul 29, 2010
app pub date -
Dec 4, 2008
filing date -
Dec 4, 2007
priority date (Note) -
Abandoned
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Abstract
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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