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Algebraic Aspects of Evolution Partial Differential Equations Arising in Financial Mathematics |
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PP: 289-305 |
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Author(s) |
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C. Sophocleous,
P. G. L. Leach,
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Abstract |
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| 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. This richness facilitates the process of
resolution of problems in an algorithmic fashion rather than the apparently ‘seat-of-thepants’
methods which abound in the literature. We illustrate the algebraic resolution of
these problems with a number of examples. |
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