Todd Schiller

Software, Knowledge, and Data Engineering

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I've been creating an annotated collection of financial domain-specific language papers, talks, and webpages on the DSLFIN workshop resources page. Since it's become a bit unwieldy, I'll be imposing some order on the listing by host language and target application. If you have any suggestions for resources, or would like to help improve the descriptions, send me an email at todd.schiller@gmail.com.

For those just starting out with financial DSLs, I'd suggest reading Simon Peyton Jones' 2001 paper Composing Contracts: An Adventure in Financial Engineering — nearly all embedded contract representation languages are based on it. Anton van Straaten has put together an example Haskell implementation with runnable web demos at http://contracts.scheming.org. Back when I tried the implementation in early 2010, I found a problem how random variables were represented (the paper is not clear on this), but it looks as though Anton might have resolved the problem since then.