Research by Gregory Pelts
Financial definitions.
Stochastic models.
Two connected lines of research: a language for defining financial products through time, and Markovian models connecting market dynamics with derivatives pricing and hedging.
The research
From contractual meaning
to numerical interpretation.
A product definition establishes its rights and obligations. A model supplies a way to value them. Keeping that relationship explicit makes both easier to examine.
Financial language
SHTAR שטר
Symbolic Hierarchical Terms And Rules
A financial product is a chronological system of records and payments. SHTAR defines what was observed, what became payable, what was delivered, and which rights remain.
Read the idea and try an exampleA review returns
- The payable
- The continuing product state
- The next observation request
Stochastic models
Markovian rough diffusion
Market dynamics for derivatives pricing and hedging
Volatility fluctuations, skew and return–volatility relationships motivate the model design. Stochastic clocks and tractable Markov states connect that research to calibration, conditional valuation and hedging.
Explore the researchRead, inspect, connect
The documents are the starting point.
Begin with the SHTAR guide, examine its technical reference, or connect an AI client to the published research.