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Extensions and generalisations of Lie analysis.
The Lie theory of extended groups applied to differential equations is arguably one of the most successful methods in the solution of differential equations. In fact, the theory unifies a number of previously unrelated ...
Lie group analysis of exotic options.
Exotic options are derivatives which have features that makes them more complex than vanilla traded products. Thus, finding their fair value is not always an easy task. We look at a particular example of the exotic options ...