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Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
Existence Regularity Weak Solutions Security Derivatives
2010/10/29
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and
on the investigation...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
2010/10/29
We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in th...