The project is a part of the research cluster
Dependable Adaptive Systems and Mathematical Modeling (DASMOD)

Coordinators:

  1. Ralf Korn (Department of Mathematics, Technical University of Kaiserslautern, Germany)
  2. Arnd Poetzsch-Heffter (Department of Informatics, Technical University of Kaiserslautern, Germany)

Abstract

Since their invention several centuries ago, the importance of options and derivatives has grown immensely, albeit sometimes disrupted by events like the famous tulip crisis in the 17th century. The ancestors of options and derivatives traded presently were introduced in the seventies of the last century. Due to the pressure of innovation, shortened time to market periods and a tremendously high degree of flexibility concerning the design of derivative contracts, new techniques for contract composition, contract valuation etc. have to be developed to cope with the still increasing demand for all new financial products.

ComDeCo explores new possibilities of contract composition and valuation by adapting well-known principles of component-oriented software design to the domain of financial contracts in conjunction with the development of new techniques that allow for semantic checking of user-defined contracts or modular fair price calculations, for example.

Keywords: option pricing, derivatives, contracts, fair price

Project Homepage: ComDeCo, DASMOD