Related papers: Certified Compilation of Financial Contracts
Double sided auctions are widely used in financial markets to match demand and supply. Prior works on double sided auctions have focused primarily on single quantity trade requests. We extend various notions of double sided auctions to…
Continuous double auctions are commonly used to match orders at currency, stock, and commodities exchanges. A verified implementation of continuous double auctions is a useful tool for market regulators as they give rise to automated…
We present assume-guarantee contracts for continuous-time linear dynamical systems with inputs and outputs. These contracts are used to express specifications on the dynamic behaviour of a system. Contrary to existing approaches, we use…
Quantitative requirements play an important role in the context of multi-agent systems, where there is often a trade-off between the tasks of individual agents and the constraints that the agents must jointly adhere to. We study multi-agent…
We address the challenges of scaling verification efforts to match the increasing complexity and size of systems. We propose a research agenda aimed at building a performant proof engine by studying the asymptotic performance of proof…
Verifying the execution of a program is complicated and often limited by the inability to validate the code's correctness. It is a crucial aspect of scientific research, where it is needed to ensure the reproducibility and validity of…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
The aim of this work is to certify lower bounds for real-valued multivariate functions, defined by semialgebraic or transcendental expressions. The certificate must be, eventually, formally provable in a proof system such as Coq. The…
Synchronous languages rely on formal methods to ease the development of applications in an efficient and reusable way. Formal methods have been advocated as a means of increasing the reliability of systems, especially those which are safety…
We implement extraction of Coq programs to functional languages based on MetaCoq's certified erasure. We extend the MetaCoq erasure output language with typing information and use it as an intermediate representation, which we call…
We discuss the problem of building a compiler which can lift in a provably correct way pieces of information on the execution cost of the object code to cost annotations on the source code. To this end, we need a clear and flexible picture…
Security bugs and trapdoors in smart contracts have been impacting the Ethereum community since its inception. Conceptually, the 1.45-million Ethereum's contracts form a single "gigantic program" whose behaviors are determined by the…
We present solc-verify, a source-level verification tool for Ethereum smart contracts. Solc-verify takes smart contracts written in Solidity and discharges verification conditions using modular program analysis and SMT solvers. Built on top…
Business contracts, particularly sale and purchase agreements, often contain a large number of clauses and are correspondingly long and complex. In practice, it is therefore a great challenge to keep track of their legal context and to…
Recent deployments of large language models (LLMs) as autonomous trading agents raise questions about whether financial decision-making competence generalizes beyond specific market patterns and how it should be trained and evaluated in…
Model checking is an established technique to formally verify automation systems which are required to be trusted. However, for sufficiently complex systems model checking becomes computationally infeasible. On the other hand, testing,…
This paper presents the first model-checking algorithm for an expressive modal mu-calculus over timed automata, $L^{\mathit{rel}, \mathit{af}}_{\nu,\mu}$, and reports performance results for an implementation. This mu-calculus contains…
We develop an assume-guarantee contract framework for the design of cyber-physical systems, modeled as closed-loop control systems, under probabilistic requirements. We use a variant of signal temporal logic, namely, Stochastic Signal…
Production distributed systems are challenging to formally verify, in particular when they are based on distributed protocols that are not rigorously described or fully understood. In this paper, we derive models and properties for two core…
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method…