raphaelrrcoelhoMathFin

Formally verified mathematical finance in Lean 4. Black–Scholes/Greeks/PDE, Itô calculus, FTAP/Girsanov, CRR→BS convergence, Merton jump-diffusion.
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  1. Git dependency.
    Found on Reservoir.

    mathlibv4.31.0

    The math library of Lean 4
  2. Git dependency.
    Found on Reservoir.

    BrownianMotionbdf5ea0

    Construction of a Brownian Motion in Lean
  3. Git dependency.
    Found on Reservoir.

    LeanArchitectv4.30.0

    LeanArchitect extracts a blueprint directly from Lean source.