raphaelrrcoelho

raphaelrrcoelho/formal-mathfin

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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black-scholes derivatives-pricing formal-methods formal-verification ito-calculus lean4 mathematical-finance mathlib option-pricing quantitative-finance stochastic-calculus theorem-proving
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67 Open Issues Need Help Last updated: Jul 1, 2026

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Downside performance metrics: Omega ratio, Calmar ratio, and maximum drawdown (definitions + invariances) 5 days ago
good first issue area:performance type:proof difficulty:small status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Cramér–Lundberg aggregate claims: `E[S_t]=λt·μ₁`, and the compensated claims process is a martingale 20 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
The compensated-Poisson integral is a mean-zero L² martingale: `E[∫ H dÑ] = 0` 20 days ago
help wanted area:foundations type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize the FRA value δ·P(0,T₂)·(F−K) and simple forward rate F = (P(0,T₁)/P(0,T₂)−1)/δ 21 days ago
help wanted good first issue area:fixed-income type:proof difficulty:good-first
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the discrete net-premium reserve recursion (Thiele) 26 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add life insurance EPV A_x and the fundamental identity A_x = 1 − d·ä_x 26 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the life-contingent annuity EPV ä_x:n = ∑ vᵏ·ₖpₓ (survival-weighted) 26 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Survival relations: tpₓ / tqₓ / deferred mortality (AFP Survival_Model) 26 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Survival-model foundation: age-at-death r.v. + conditional survival ccdf (AFP Survival_Model) 26 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Upgrade reduced_core: the continuous 2D / two-process Itô formula (sc-thm-7.5.2) 26 days ago
help wanted area:foundations type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Upgrade reduced_core: compound-Poisson MGF → Cramér–Lundberg ruin core 26 days ago
help wanted area:actuarial type:proof difficulty:hard status:blocked-design
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Siegel's paradox: E[S_T]·E[1/S_T] = e^(σ²T) > 1 (reciprocal-rate convexity correction) 29 days ago
help wanted good first issue type:proof difficulty:small status:ready area:fx
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Covered & uncovered interest-rate parity F = S·e^((r_d−r_f)T) 29 days ago
help wanted good first issue type:proof difficulty:small status:ready area:fx
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Glosten–Milgrom adverse-selection bid–ask spread from Bayesian quotes 29 days ago
help wanted type:proof difficulty:medium status:ready area:execution
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Calendar-spread no-arbitrage: European call non-decreasing in maturity (total variance w=σ²T monotone) 29 days ago
help wanted type:proof difficulty:medium status:ready area:stoch-vol
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Model-free implied variance / VIX static replication as the 1/K² OTM-option strip 29 days ago
help wanted type:proof difficulty:medium status:ready area:stoch-vol
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Merton structural credit spread s(T) = −(1/T)·log(Φ(d₂) + (V₀e^(rT)/F)·Φ(−d₁)) 29 days ago
help wanted type:proof difficulty:medium status:ready area:credit
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the American-put early-exercise premium: European put < American put (strict) 29 days ago
help wanted area:binomial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the Uniswap v3 concentrated-liquidity position value 29 days ago
help wanted area:defi type:research difficulty:hard status:blocked-design
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the constant-mean (Balancer) AMM invariant ∏ Bᵢ^{wᵢ} and spot price 29 days ago
help wanted area:defi type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the constant-product impermanent-loss formula IL(r) = 2√r/(1+r) − 1 29 days ago
help wanted area:defi type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the Schwartz one-factor commodity futures closed form (OU log-spot) 29 days ago
help wanted area:futures type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Characterize contango/backwardation and basis convergence for F = S·e^{(r−δ)T} 29 days ago
good first issue area:futures type:proof difficulty:small status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the Bühlmann credibility premium Z·X̄ + (1−Z)·μ, Z = n/(n+k) 29 days ago
help wanted area:actuarial type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add Panjer's recursion g(s)=∑(a+bj/s)f(j)g(s−j) for (a,b,0)-class aggregate losses 29 days ago
help wanted area:actuarial type:research difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add the expected-value / variance / standard-deviation premium principles 29 days ago
good first issue area:actuarial type:proof difficulty:small status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Derive the APT exact-factor pricing relation E[Rᵢ]−r = Σₖ βᵢₖ λₖ from no-arbitrage 29 days ago
help wanted area:portfolio type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize key-rate (partial) duration and the sum = effective-duration identity 29 days ago
help wanted area:fixed-income type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize the vanilla interest-rate swap value and par swap rate S = (P(0,T₀)−P(0,Tₙ))/(δ·Σ P(0,Tᵢ)) 29 days ago
help wanted good first issue area:fixed-income type:proof difficulty:small status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Verify the CIR affine loading B(T) solves the Riccati ODE B′ = 1 − κB − ½σ²B² 29 days ago
help wanted area:fixed-income type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize the Ho–Lee bond price P(0,T) = A(T)·exp(−T·r₀) with variance σ²T³/3 29 days ago
help wanted good first issue area:fixed-income type:proof difficulty:small status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize the Hull–White (extended-Vasicek) bond price P(0,T) = A(T)·exp(−B(T)·r₀) 29 days ago
help wanted area:fixed-income type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Knock-in/knock-out parity: barrier-in + barrier-out = vanilla 29 days ago
good first issue area:black-scholes type:proof difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Upgrade reduced_core: adapted-integrand Itô consequences — Lévy's characterization + continuous martingale representation (sc-thm-9.1.1, gir-thm-9.3.4) 29 days ago
help wanted area:foundations type:proof difficulty:hard status:blocked-design
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Document a Mathlib/toolchain bump cadence policy about 1 month ago
help wanted area:docs type:docs difficulty:small status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Itô formula: lower the smoothness hypothesis from C³ to C² (the textbook scope) about 1 month ago
help wanted area:foundations type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Bundle IsBrownianMotion + drop the 4 dead `_hBmeas` args (clear the nolints baseline's genuine slop) about 1 month ago
help wanted area:foundations type:refactor difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Girsanov: derive the continuous EMM from the Itô tower (the I↔II bridge; retire the Wald shortcut) about 1 month ago
help wanted area:foundations type:proof difficulty:hard status:blocked-design
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Superhedging strong duality: the EMM-sup equality (needs finite-dim Farkas / polyhedral-cone closedness) about 1 month ago
help wanted area:risk type:proof difficulty:hard status:blocked-upstream
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add SECURITY.md (reporting policy + dependency-pinning trust boundary) about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Generate and host doc-gen4 API documentation on GitHub Pages about 1 month ago
help wanted area:ci type:tooling difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Publish a hosted leanblueprint site with interactive dependency graph about 1 month ago
help wanted area:ci type:tooling difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add Black-76 caplet / floorlet pricing about 1 month ago
good first issue area:futures type:proof difficulty:good-first status:review
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add a perpetual American option closed form about 1 month ago
help wanted area:black-scholes type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
CRR → Black–Scholes convergence rate: explicit error constant about 1 month ago
help wanted area:binomial type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Variable-coefficient Feynman–Kac: local-vol / Heston PDE on the SDE layer about 1 month ago
help wanted area:foundations type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Upgrade reduced_core: Poisson interarrivals iid Exp (pp-prop-3.3.6) about 1 month ago
help wanted area:foundations type:proof difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Markov cluster: renewal + Perron–Frobenius spectral layer about 1 month ago
help wanted area:foundations type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Upstream: Real.erf / erfc / erfinv for Mathlib about 1 month ago
help wanted area:foundations type:proof difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Depth track: Carr–Lee moment formula (wing-decay bound on E[S_T^p]) about 1 month ago
help wanted area:black-scholes type:research difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Depth track: optimal-stopping characterisation of the Snell envelope about 1 month ago
help wanted area:foundations type:research difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Depth track: variance-optimal hedging in finite-state markets about 1 month ago
help wanted area:portfolio type:research difficulty:hard status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add a stdlib generator for a repo-level formalization.yaml manifest about 1 month ago
help wanted area:tooling type:tooling difficulty:medium status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add a CONTRIBUTING/Code-of-Conduct badge row and "Contributing" section to the README about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Audit MathFin/ module files for the `## Result` docstring section about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Cross-link every docs/coverage.md entry to its Lean source file about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize the Black–Scholes third-order Greek "speed" (∂³V/∂S³) about 1 month ago
good first issue area:black-scholes type:proof difficulty:good-first status:review
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Expand MathFin/Examples.lean into a guided tour for newcomers about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Write a build & environment troubleshooting FAQ about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add a glossary mapping finance terms to their Lean definitions about 1 month ago
good first issue area:docs type:docs difficulty:good-first status:ready
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Move off the rc toolchain to stable + document a Mathlib bump cadence about 2 months ago
enhancement help wanted
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Add SUPPORT.md with Zulip / communication channels for contributors about 2 months ago
documentation good first issue
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Itô formula: lift bounded-derivative scope to unrestricted C² (Summit C localization) about 2 months ago
enhancement help wanted
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Itô tower: general-integrand pathwise modification → localized integral about 2 months ago
enhancement help wanted
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Depth track: Carr–Madan static replication integral identity about 2 months ago
enhancement help wanted
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Depth track: discrete-time martingale representation in the binomial model about 2 months ago
enhancement help wanted
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving
Formalize the Black–Scholes higher-order Greek "charm" (∂Δ/∂τ) about 2 months ago
enhancement good first issue
raphaelrrcoelho/formal-mathfin
19

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

Lean
#black-scholes#derivatives-pricing#formal-methods#formal-verification#ito-calculus#lean4#mathematical-finance#mathlib#option-pricing#quantitative-finance#stochastic-calculus#theorem-proving