Browsing by Subject "Financial mathematics"
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Algebraic aspects of evolution partial differential equations arising in financial mathematics
(2010)In the modelling of various financial instruments, risks, prices of commodities, etc., the end result is frequently an evolution partial differential equation. A remarkable number of these have rich algebraic structures. ...
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Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
(2013)We demonstrate the power of symmetry in the resolution of some evolution partial differential equations which arise in various aspects of finance. The essential theme is that which Lie promulgated approximately 140 years ...
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Erratum: The application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition [J Eng Math, 82, (2013), 67-75, DOI 10.1007/s10665-012-9595-4]
(2015)In an analysis of the Lie point symmetries of the equation which allows for the inclusion of transaction costs into the Black–Scholes model (J Eng Math 82:67–75, 2013) one of the symmetries was omitted. We rectify that ...
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Group classification of a class of equations arising in financial mathematics
(2010)We provide a group classification of a class of nonlinearisable evolution partial differential equations which arise in Financial Mathematics. Sixteen different cases are identified for the general problem and another seven ...