Implementing some mathematical operators for a continuous-in-time financial model

Abstract

This paper considers the development of some mathematical operators as convolution and primitive for continuous-in-time financial model. This development is given in form of API (Application Programming Interface) with showing concept of its computation. The model is based on using measures and fields. The work we report here addresses the fundamental issue of how measures and fields are implemented for the software. The originality of this API lie in the fact that it will be used by the company MGDIS.