Geometrical Properties of Differential Equations

DOI10.1142/9549zbMath1393.22001OpenAlexW4252148831MaRDI QIDQ5256614

Ljudmila A. Bordag

Publication date: 19 June 2015

Full work available at URL: https://doi.org/10.1142/9549

zbMATH Keywords

incomplete marketLie algebradifferential equationsfinancial mathematicsLie group analysisequilibrium modelspricing optionsilliquid marketsgeometrical properties

Mathematics Subject Classification ID

Transformation groups and semigroups (topological aspects) (54H15) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to ordinary differential equations (34-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to partial differential equations (35-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to topological groups (22-01)

Related Items (11)

Approximate Q-conditional symmetries of partial differential equations ⋮ Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ Optimization problem for a portfolio with an illiquid asset: Lie group analysis ⋮ Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ A consistent approach to approximate Lie symmetries of differential equations ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Group classification for a class of non-linear models of the RAPM type ⋮ Lie Group Analysis of Nonlinear Black-Scholes Models ⋮ Symmetry Reduction of Ordinary Differential Equations Using Moving Frames ⋮ Consistent approximate Q-conditional symmetries of PDEs: application to a hyperbolic reaction-diffusion-convection equation ⋮ The Lie symmetry approach on (1+2)-dimensional financial models

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