Craddock, Mark; Grasselli, Martino Lie symmetry methods for local volatility models. (English) Zbl 1444.60063 Stochastic Processes Appl. 130, No. 6, 3802-3841 (2020). MSC: 60H15 91G20 35B06 35A30 PDFBibTeX XMLCite \textit{M. Craddock} and \textit{M. Grasselli}, Stochastic Processes Appl. 130, No. 6, 3802--3841 (2020; Zbl 1444.60063) Full Text: DOI Link
Sinuvasan, R.; Paliathanasis, Andronikos; Morris, Richard M.; Leach, Peter G. L. Solution of the master equation for quantum Brownian motion given by the Schrödinger equation. (English) Zbl 1367.81093 Mathematics 5, No. 1, Paper No. 1, 7 p. (2017). MSC: 81S22 60J65 81R05 81Q05 PDFBibTeX XMLCite \textit{R. Sinuvasan} et al., Mathematics 5, No. 1, Paper No. 1, 7 p. (2017; Zbl 1367.81093) Full Text: DOI arXiv
Paliathanasis, Andronikos; Krishnakumar, K.; Tamizhmani, K. M.; Leach, Peter G. L. Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility. (English) Zbl 1358.91101 Mathematics 4, No. 2, Paper No. 28, 14 p. (2016). MSC: 91G20 35Q91 35B06 60H30 PDFBibTeX XMLCite \textit{A. Paliathanasis} et al., Mathematics 4, No. 2, Paper No. 28, 14 p. (2016; Zbl 1358.91101) Full Text: DOI arXiv
Charalambous, K.; Sophocleous, C.; O’Hara, J. G.; Leach, P. G. L. A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters. (English) Zbl 1411.91490 Math. Methods Appl. Sci. 38, No. 17, 4448-4460 (2015). MSC: 91G10 91G80 60H15 22E10 PDFBibTeX XMLCite \textit{K. Charalambous} et al., Math. Methods Appl. Sci. 38, No. 17, 4448--4460 (2015; Zbl 1411.91490) Full Text: DOI
Sophocleous, C.; O’Hara, J. G.; Leach, P. G. L. Symmetry analysis of a model of stochastic volatility with time-dependent parameters. (English) Zbl 1231.91493 J. Comput. Appl. Math. 235, No. 14, 4158-4164 (2011). MSC: 91G80 35C06 35K15 60G44 PDFBibTeX XMLCite \textit{C. Sophocleous} et al., J. Comput. Appl. Math. 235, No. 14, 4158--4164 (2011; Zbl 1231.91493) Full Text: DOI