Nonlinearities in financial engineering

DOI10.1002/GAMM.200910009MaRDI QIDQ3654706zbMATH OpenOpenAlexFDO

Authors

Publication date 8 January 2010

Published in GAMM-Mitteilungen (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/gamm.200910009

zbMATH Keywords

bifurcationmarketnonlinearitiesoptionsvolatility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Nonlinear systems in control theory (93C10)

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Cites work

• Elements of applied bifurcation theory
• Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• Numerical methods for non-linear Black-Scholes equations
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Practical bifurcation and stability analysis: from equilibrium to chaos.
• The Feedback Effect of Hedging in Illiquid Markets

Cited in

(4)

• Linear and non-linear filtering in mathematical finance: a review
• scientific article; zbMATH DE number 5656751 (Why is no real title available?)
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• Nonlinear Averaging Axioms in Financial Mathematics and Stock Price Dynamics

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