MathOCL: a domain-specific language for financial modelling

TY - CONF

T1 - MathOCL

T2 - 2023 Software Technologies: Applications and Foundations Workshops, STAF-WS 2023; 15th Transformation Tool Contest, TTC 2023, 3rd International Workshop on MDE for Smart IoT Systems, MeSS 2023 and Agile Model-driven Engineering Workshop, AgileMDE 2023

AU - Haughton, Howard

AU - Tehrani, Sobhan Yassipour

AU - Lano, Kevin

N1 - Funding Information: The MathOCL project is a collaboration between Holistic Risk Solutions Ltd., CLMS UK Ltd, King’s College London, Agile MDE Ltd., and University College London. We acknowledge the support of the KCL NMES Enterprise pump-priming fund and UK EPSRC Seedcorn funding from the MDENet network grant. Dr Yannis Zorgios of CLMS UK Ltd and Kaveh Aryanpoo of KCL also contributed to this work. Publisher Copyright: © 2023 Copyright for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).

PY - 2023

Y1 - 2023

N2 - Financial models are mathematical models representing the concepts underlying financial processes such as valuation and risk estimation. Validation of such models is viewed as an essential activity by banking and other financial regulatory authorities. Regulators require institutions to periodically validate financial models to ensure that they are operating as intended. In our view, concepts from model driven engineering (MDE) could be employed to support the model definition and validation process. In this paper, we describe a domain-specific language (DSL) for expressing financial models, and associated tools for analysing these models and for transitioning to an executable implementation which is correct-by-construction with respect to the models.

AB - Financial models are mathematical models representing the concepts underlying financial processes such as valuation and risk estimation. Validation of such models is viewed as an essential activity by banking and other financial regulatory authorities. Regulators require institutions to periodically validate financial models to ensure that they are operating as intended. In our view, concepts from model driven engineering (MDE) could be employed to support the model definition and validation process. In this paper, we describe a domain-specific language (DSL) for expressing financial models, and associated tools for analysing these models and for transitioning to an executable implementation which is correct-by-construction with respect to the models.

KW - Financial models

KW - MDE

KW - Model validation

UR - http://www.scopus.com/inward/record.url?scp=85183921948&partnerID=8YFLogxK

M3 - Paper

AN - SCOPUS:85183921948

Y2 - 18 July 2023 through 21 July 2023

ER -