A Formally Verified Library of Mathematical Finance in Lean 4
Researchers have developed a comprehensive library of mathematical finance theorems using the Lean 4 proof assistant. This library, built upon Mathlib and the BrownianMotion package, includes over two hundred theorems covering a wide range of topics from stochastic calculus to portfolio theory. A key feature is its faithfulness audit, which precisely documents the axioms used for each proof, ensuring transparency and verifiability. The project's contribution is primarily methodological, providing reusable, verified foundations for mathematical finance rather than new financial theories. AI
IMPACT Provides verified foundations for mathematical finance, potentially improving reliability in quantitative finance applications.