Research by Gregory Pelts
Financial definitions.
Stochastic models.
Two connected lines of research: a language for defining financial products through time, and tractable Markov models for rough-volatility behavior.
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
Rough diffusion
Tractable Markov processes emulating rough volatility
The research explores additional stochastic clocks within Markov constructions, connecting rough-volatility behavior with simulation, conditional valuation and option calibration.
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.