dc.creator | Bozhkov Y. | |
dc.creator | Dimas S. | |
dc.date | 2014 | |
dc.date | 2015-06-25T18:01:21Z | |
dc.date | 2015-11-26T15:03:07Z | |
dc.date | 2015-06-25T18:01:21Z | |
dc.date | 2015-11-26T15:03:07Z | |
dc.date.accessioned | 2018-03-28T22:13:59Z | |
dc.date.available | 2018-03-28T22:13:59Z | |
dc.identifier | | |
dc.identifier | Applied Mathematics And Computation. Elsevier Inc., v. 243, n. , p. 121 - 131, 2014. | |
dc.identifier | 963003 | |
dc.identifier | 10.1016/j.amc.2014.05.100 | |
dc.identifier | http://www.scopus.com/inward/record.url?eid=2-s2.0-84903157450&partnerID=40&md5=07a70d503730c166873c8f1e45798d80 | |
dc.identifier | http://www.repositorio.unicamp.br/handle/REPOSIP/87557 | |
dc.identifier | http://repositorio.unicamp.br/jspui/handle/REPOSIP/87557 | |
dc.identifier | 2-s2.0-84903157450 | |
dc.identifier.uri | http://repositorioslatinoamericanos.uchile.cl/handle/2250/1256538 | |
dc.description | The complete group classification of a generalization of the Heath model is carried out by connecting it to the heat equation with nonlinear source. Examples of invariant solutions are given under the terminal and the barrier option condition. © 2014 Elsevier Inc. All rights reserved. | |
dc.description | 243 | |
dc.description | | |
dc.description | 121 | |
dc.description | 131 | |
dc.description | Black, F., Scholes, M., The pricing of options and corporate liabilities (1973) J. Political Econ., 81, pp. 637-659 | |
dc.description | Longstaff, F.A., A nonlinear general equilibrium model of the term structure of interest rates (1989) J. Finance Econ., 23, pp. 195-224 | |
dc.description | Vasicek, O., An equilibrium characterization of the term structure (1977) J. Finance Econ., 5, pp. 177-188 | |
dc.description | Cox, J.C., Ingersoll, J.E., Ross, S.A., An intertemporal general equilibrium model of asset prices (1985) Econometrica, 53, pp. 363-384 | |
dc.description | Heath, D., Platin, E., Schweizer, M., Numerical comparison of local risk-minimisation and mean-variance hedging (2001) Option Pricing, Interest Rates and Risk Management, pp. 509-537. , E. Jouini, C. Jajusa, M. Murek, CUP Cambridge | |
dc.description | Gazizov, R.K., Ibragimov, N.H., Lie symmetry analysis of differential equations in finance (1998) Nonlinear Dyn., 17, pp. 387-407 | |
dc.description | Dimas, S., Andriopoulos, K., Tsoubelis, D., Leach, P.G.L., Complete specification of some partial differential equations that arise in financial mathematics (2009) J. Nonlinear Math. Phys., 16 (S-1), pp. 73-92 | |
dc.description | Sinkala, O., Leach, P., O'Hara, J., Invariance properties of a general bond-pricing equation (2008) J. Differ. Equ., 244, pp. 2820-2835 | |
dc.description | Bozhkov, Y., Dimas, S., (2014) Group Analysis of A Semi-linear General Bond-pricing Equation, , arxiv:1404.6463, arXiv preprint arXiv | |
dc.description | Naicker, V., Andriopoulos, K., Leach, P.G.L., Symmetry reductions of a Hamilton-Jacobi-Bellman equation arising in financial mathematics (2005) J. Nonlinear Math. Phys., 12, pp. 268-283 | |
dc.description | Bluman, G.W., Kumei, S., (1989) Symmetries and Differential Equations, , Springer New York | |
dc.description | Ovsiannikov, L., (1982) Group Analysis of Differential Equations, , first ed. Academic Press 432 p | |
dc.description | Ibragimov, N.H., Equivalence groups and invariants of linear and nonlinear equations (2009) Arch. ALGA, 4, pp. 41-100 | |
dc.description | Popovych, R.O., Eshraghi, H., Admissible point transformations of nonlinear Schrödinger equations (2005) Proceedings of the 10th International Conference in MOdern GRoup Analysis, pp. 167-174. , N. Ibragimov, C. Sophocleous, P. Damianou (Eds.) | |
dc.description | Romano, V., Torrisi, M., Application of weak equivalence transformations to a group analysis of a drift-diffusion model (1999) J. Phys. A: Math. Gen., 32, p. 7953 | |
dc.description | Bozhkov, Y., Dimas, S., Group classification of a generalized Black-Scholes-Merton equation (2014) Commun. Nonlinear Sci. Numer. Simul., 19, pp. 2200-2211 | |
dc.description | Cherniha, R., Serov, M., Rassokha, I., Lie symmetries and form-preserving transformations of reaction-diffusion-convection equations (2008) J. Math. Anal. Appl., 342, pp. 1363-1379 | |
dc.description | Cardoso-Bilho, E.D.S., Bilho, A., Popovych, R.O., Enhanced preliminary group classification of a class of generalized diffusion equations (2011) Commun. Nonlinear Sci. Numer. Simul., 16, pp. 3622-3638 | |
dc.description | Ivanova, N.M., Popovych, R.O., Sophocleous, C., Group analysis of variable coefficient diffusion-convection equations. I. Enhanced group classification (2010) Lobachevskii J. Math., 31, pp. 100-122 | |
dc.description | Vaneeva, O.O., Popovych, R.O., Sophocleous, C., Enhanced group analysis and exact solutions of variable coefficient semilinear diffusion equations with a power source (2009) Acta Appl. Math., 106, pp. 1-46 | |
dc.description | Black, F., Scholes, M., The valuation of option contracts and a test of market efficiency (1972) J. Finance, 27, pp. 399-417 | |
dc.description | Merton, R.C., On the pricing of corporate debt: The risk structure of interest rates (1974) J. Finance, 29, pp. 449-470 | |
dc.description | Ugur, O., (2008) Introduction to Computational Finance, , Imperial College Press and World Scientific | |
dc.description | O'Hara, J., (2011) Lecture Notes on Exotic Options, , http://courses.essex.ac.uk/cf/cf966/ | |
dc.description | Kwok, Y.K., (2008) Mathematical Models of Financial Derivatives, , second ed. Springer | |
dc.description | O'Hara, J., Sophocleous, C., Leach, P.G.L., Symmetry analysis of a model for the exercise of a barrier option (2013) Commun. Nonlinear Sci. Numer. Simul., 18, pp. 2367-2373 | |
dc.description | Olver, P.J., (2000) Applications of Lie Groups to Differential Equations, 107 VOL.. , second ed. Graduate Texts in Mathematics Springer New York | |
dc.description | Head, A.K., Lie, a pc program for Lie analysis of differential equations (1993) Comput. Phys. Commun., 77, pp. 241-248 | |
dc.description | Nucci, M., Interactive REDUCE programs for calculating Lie point, non-classical, Lie-Bäcklund, and approximate symmetries of differential equations: Manual and floppy disk (1996) CRC Handbook of Lie Group Analysis of Differential Equations, VOL. III, pp. 415-481. , N. Ibragimov, New Trends CRC Press | |
dc.description | Nucci, M., Interactive REDUCE programs for calculating classical, nonclassical and Lie-Bäcklund symmetries for differential equations (1992) Computational and Applied Mathematics, VOL. II, pp. 345-350. , W. Ames, P. Van der Houwen, Differential Equations Elsevier | |
dc.description | Baumann, G., (2000) Symmetry Analysis of Differential Equations with Mathematica, , Telos/Springer New York | |
dc.description | (2010) Mathematica Edition: Version 8.0, , W. Reasearch Inc. Wolfram Reasearch Inc., Champaign, Illinois | |
dc.description | Dimas, S., (2008) Partial Differential Equations, Algebraic Computing and Nonlinear Systems, , (Ph.D. thesis), University of Patras, Patras, Greece | |
dc.description | Dimas, S., Tsoubelis, D., SYM: A new symmetry-finding package for mathematica (2005) The 10th International Conference in MOdern GRoup ANalysis, pp. 64-70. , N. Ibragimov, C. Sophocleous, P. Damianou, University of Cyprus Nicosia | |
dc.description | Dimas, S., Tsoubelis, D., A new mathematica-based program for solving overdetermined systems of PDEs (2006) Applied Mathematica, Electronic Proceedings of the Eighth International Mathematica Symposium (IMS'06), France, , Y. Papegay, INRIA Avignon, France 2-7261-1289-7 | |
dc.description | Ibragimov, N.H., (1985) Transformation Groups Applied to Mathematical Physics, , first ed. Mathematics and its Applications Springer | |
dc.description | Hydon, P.E., (2000) Symmetry Methods for Differential Equations, , first ed. Cambridge Texts in Applied Mathematics Cambridge University Press Cambridge | |
dc.description | Stephani, H., (1990) Differential Equations: Their Solution Using Symmetries, , Malcolm MacCallum, first ed. Cambridge University Press Cambridge | |
dc.description | Zhdanov, R.Z., Lahno, V.I., Group classification of heat conductivity equations with a nonlinear source (1999) J. Phys. A: Math. Gen., 32, pp. 7405-7418 | |
dc.language | en | |
dc.publisher | Elsevier Inc. | |
dc.relation | Applied Mathematics and Computation | |
dc.rights | fechado | |
dc.source | Scopus | |
dc.title | Group Classification Of A Generalization Of The Heath Equation | |
dc.type | Artículos de revistas | |