Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDFBibTeX XMLCite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) Full Text: DOI
Pavliv, Dmitriĭ Aleksandrovich On the usage of the Lie group symmetries for term structure models with nonlinear drift and squared volatility functions. (Russian. English summary) Zbl 1420.91485 Zh. Beloruss. Gos. Univ., Mat., Inform. 2018, No. 2, 34-46 (2018). MSC: 91G30 91G80 22E99 PDFBibTeX XMLCite \textit{D. A. Pavliv}, Zh. Beloruss. Gos. Univ., Mat., Inform. 2018, No. 2, 34--46 (2018; Zbl 1420.91485)
Zhang, Siyan; Mazzucato, Anna L.; Nistor, Victor Semi-groups and the mean reverting SABR stochastic volatility model. (English) Zbl 1406.35167 North-West. Eur. J. Math. 4, 119-155 (2018). MSC: 35K65 47D03 22E60 91G80 PDFBibTeX XMLCite \textit{S. Zhang} et al., North-West. Eur. J. Math. 4, 119--155 (2018; Zbl 1406.35167) Full Text: Link
Bordag, Ljudmila A. Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics. (English) Zbl 1393.22001 Hackensack, NJ: World Scientific (ISBN 978-981-4667-24-1/hbk). xi, 328 p. (2015). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 22-01 91G80 91-01 91G20 34-01 35-01 54H15 PDFBibTeX XMLCite \textit{L. A. Bordag}, Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics. Hackensack, NJ: World Scientific (2015; Zbl 1393.22001) Full Text: DOI
Polat, R.; Ozis, T. Expanded Lie group transformations and similarity reductions for the celebrity Black-Scholes equation in finance. (English) Zbl 1342.35402 Appl. Comput. Math. 13, No. 1, 71-77 (2014). MSC: 35Q91 91G20 22E99 PDFBibTeX XMLCite \textit{R. Polat} and \textit{T. Ozis}, Appl. Comput. Math. 13, No. 1, 71--77 (2014; Zbl 1342.35402) Full Text: Link
Cordoni, Francesco; Di Persio, Luca Lie symmetry approach to the CEV model. (English) Zbl 1339.60069 Int. J. Differ. Equ. Appl. 13, No. 3, 109-127 (2014). MSC: 60H10 60J60 60H30 60H15 35Q91 17B99 22E99 91G80 PDFBibTeX XMLCite \textit{F. Cordoni} and \textit{L. Di Persio}, Int. J. Differ. Equ. Appl. 13, No. 3, 109--127 (2014; Zbl 1339.60069) Full Text: Link
Bordag, Ljudmila A.; Mikaelyan, Anna Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions. (English) Zbl 1223.35025 Lett. Math. Phys. 96, No. 1-3, 191-207 (2011). MSC: 35B06 35K55 34A05 22E60 91G80 91G20 PDFBibTeX XMLCite \textit{L. A. Bordag} and \textit{A. Mikaelyan}, Lett. Math. Phys. 96, No. 1--3, 191--207 (2011; Zbl 1223.35025) Full Text: DOI arXiv
Sophocleous, C.; Leach, P. G. L.; Andriopoulos, K. Algebraic properties of evolution partial differential equations modelling prices of commodities. (English) Zbl 1132.35491 Math. Methods Appl. Sci. 31, No. 6, 679-694 (2008). MSC: 35Q91 91G20 60H99 22E60 PDFBibTeX XMLCite \textit{C. Sophocleous} et al., Math. Methods Appl. Sci. 31, No. 6, 679--694 (2008; Zbl 1132.35491) Full Text: DOI
Sinkala, W.; Leach, P. G. L.; O’Hara, J. G. Zero-coupon bond prices in the Vasicek and CIR models: their computation as group-invariant solutions. (English) Zbl 1132.91438 Math. Methods Appl. Sci. 31, No. 6, 665-678 (2008). MSC: 91G30 22E70 35C05 35K15 35Q91 PDFBibTeX XMLCite \textit{W. Sinkala} et al., Math. Methods Appl. Sci. 31, No. 6, 665--678 (2008; Zbl 1132.91438) Full Text: DOI