Sökning: "Liudmila Petrova"

Hittade 1 uppsats innehållade orden Liudmila Petrova.

  1. 1. Study of the group properties of the Sircar-Papanicolaou model in case of a nonlinear utility function

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Liudmila Petrova; Liubov Ivkina; [2009]
    Nyckelord :Sircar-Papanicolaou model; feedback effect; illiquid market; Lie groups; mathematics;

    Sammanfattning : In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effect of dynamic hedging strategies of pro-gramme traders. Using the Lie group analysis we describe the symmetrygroup of the main equation of the concerned model. LÄS MER