<p>We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Scholes equation for illiquid markets. We use the Lie group analysis to determine the symmetry group of this equations. We present the Lie algebra of the Lie point transformations, the complete symmetry group and invariants. For different subgroups of the main symmetry group we describe the corresponding invariants. We use these invariants to reduce the PDE under investigation to ordinary differential equations (ODE). Solutions of these ODE's are subgroup-invariant solutions of the non-linear Black-Scholes equation. For some classes of those ODE's we find exact solutions and studied their properties.</p><p>% reduce non-linear PDE to ODE's. To some ODE's we find exact solutions.</p><p>%In this work we are studying one model for pricing derivatives in illiquid market. We discuss it structure and properties. Make a symmetry reduction for the PDE corresponding our model.</p>

We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Scholes equation for illiquid markets. We use the Lie group analysis to determine the symmetry group of this equations. We present the Lie algebra of the Lie point transformations, the complete symmetry group and invariants. For different subgroups of the main symmetry group we describe the corresponding invariants. We use these invariants to reduce the PDE under investigation to ordinary differential equations (ODE). Solutions of these ODE's are subgroup-invariant solutions of the non-linear Black-Scholes equation. For some classes of those ODE's we find exact solutions and studied their properties. % reduce non-linear PDE to ODE's. To some ODE's we find exact solutions. %In this work we are studying one model for pricing derivatives in illiquid market. We discuss it structure and properties. Make a symmetry reduction for the PDE corresponding our model.

The modelling power of Itˆo integrals has a far reaching impact on a spectrum of diverse fields. For example, in mathematics of finance, its use has given insights into the relationship between call options and their non-deterministic underlying stock prices; in the study of blood clotting dynamics, its utility has helped provide an understanding of the behaviour of platelets in the blood stream; and in the investigation of experimental psychology, it has been used to build random fluctuations into deterministic models which model the dynamics of repetitive movements in humans. Finding the quadrature for these integrals using continuous groups or Lie groups has to take families of time indexed random variables, known as Wiener processes, into consideration. Adaptations of Sophus Lie’s work to stochastic ordinary differential equations (SODEs) have been done by Gaeta and Quintero [1], Wafo Soh and Mahomed [2], ¨Unal [3], Meleshko et al. [4], Fredericks and Mahomed [5], and Fredericks and Mahomed [6]. The seminal work [1] was extended in Gaeta [7]; the differential methodology of [2] and [3] were reconciled in [5]; and the integral methodology of [4] was corrected and reconciled in [5] via [6]. Symmetries of SODEs are analysed. This work focuses on maintaining the properties of the Weiner processes after the application of infinitesimal transformations. The determining equations for first-order SODEs are derived in an Itˆo calculus context. These determining equations are non-stochastic. Many methods of deriving Lie point-symmetries for Itˆo SODEs have surfaced. In the Itˆo calculus context both the formal and intuitive understanding of how to construct these symmetries has led to seemingly disparate results. The impact of Lie point-symmetries on the stock market, population growth and weather SODE models, for example, will not be understood until these different results are reconciled as has been attempted here. Extending the symmetry generator to include the infinitesimal transformation of the Wiener process for Itˆo stochastic differential equations (SDEs), has successfully been done in this thesis. The impact of this work leads to an intuitive understanding of the random time change formulae in the context of Lie point symmetries without having to consult much of the intense Itˆo calculus theory needed to derive it formerly (see Øksendal [8, 9]). Symmetries of nth-order SODEs are studied. The determining equations of these SODEs are derived in an Itˆo calculus context. These determining equations are not stochastic in nature. SODEs of this nature are normally used to model nature (e.g. earthquakes) or for testing the safety and reliability of models in construction engineering when looking at the impact of random perturbations. The symmetries of high-order multi-dimensional SODEs are found using form invariance arguments on both the instantaneous drift and diffusion properties of the SODEs. We then apply this to a generalised approximation analysis algorithm. The determining equations of SODEs are derived in an It¨o calculus context. A methodology for constructing conserved quantities with Lie symmetry infinitesimals in an Itˆo integral context is pursued as well. The basis of this construction relies on Lie bracket relations on both the instantaneous drift and diffusion operators.

This thesis provides an analytical and two numerical methods for solving a parabolic equation of two-dimensional mean curvature flow with some applications. In analytical method, this equation is solved by Lie group analysis method, and in numerical method, two algorithms are implemented in MATLAB for solving this equation. A geometric algorithm and a step-wise algorithm; both are based on a deterministic game theoretic representation for parabolic partial differential equations, originally proposed in the genial work of Kohn-Serfaty [1]. / +46-767165881

<p>This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid market. This is a nonlinear model. Using analytical methods we studied the symmetry properties of theequation which described the given model. We called this equation aSchonbucher-Wilmott equation or the main equation. We have foundinnitesimal generators of the Lie algebra, containing the informationabout the symmetry group admitted by the main equation. We foundthat there could be dierent types of the unknown function g, whichwas located in the main equation, in particular four types which admitsricher symmetry group. According to the type of the function gthe equation was split up into four PDEs with the dierent Lie algebrasin each case. Using the generators we studied the structure ofthe Lie algebras and found optimal systems of subalgebras. Then weused the optimal systems for dierent reductions of the PDE equationsto some ODEs. Obtained ODEs were easier to solve than the correspondingPDE. Thereafter we proceeded to the solution of the desiredSchonbucher-Wilmott equation. In the project we were guided by thepapers of Bank, Baum [1] and Schonbucher, Wilmott [2]. In these twopapers authors introduced distinct approaches of the analysis of thenonlinear model - stochastic and dierential ones. Both approaches leadunder some additional assumptions to the same nonlinear equation - the main equation.</p>

This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid market. This is a nonlinear model. Using analytical methods we studied the symmetry properties of theequation which described the given model. We called this equation aSchonbucher-Wilmott equation or the main equation. We have foundinnitesimal generators of the Lie algebra, containing the informationabout the symmetry group admitted by the main equation. We foundthat there could be dierent types of the unknown function g, whichwas located in the main equation, in particular four types which admitsricher symmetry group. According to the type of the function gthe equation was split up into four PDEs with the dierent Lie algebrasin each case. Using the generators we studied the structure ofthe Lie algebras and found optimal systems of subalgebras. Then weused the optimal systems for dierent reductions of the PDE equationsto some ODEs. Obtained ODEs were easier to solve than the correspondingPDE. Thereafter we proceeded to the solution of the desiredSchonbucher-Wilmott equation. In the project we were guided by thepapers of Bank, Baum [1] and Schonbucher, Wilmott [2]. In these twopapers authors introduced distinct approaches of the analysis of thenonlinear model - stochastic and dierential ones. Both approaches leadunder some additional assumptions to the same nonlinear equation - the main equation.

Conservation laws play an important role in science. The aim of this thesis is to provide an overview and develop new methods for constructing conservation laws using Lie group theory. The derivation of conservation laws for invariant variational problems is based on Noether’s theorem. It is shown that the use of Lie-Bäcklund transformation groups allows one to reduce the number of basic conserved quantities for differential equations obtained by Noether’s theorem and construct a basis of conservation laws. Several examples on constructing a basis for some well-known equations are provided. Moreover, this approach allows one to obtain new conservation laws even for equations without Lagrangians. A formal Lagrangian can be introduced and used for computing nonlocal conservation laws. For self-adjoint or quasi-self-adjoint equations nonlocal conservation laws can be transformed into local conservation laws. One of the fields of applications of this approach is electromagnetic theory, namely, nonlocal conservation laws are obtained for the generalized Maxwell-Dirac equations. The theory is also applied to the nonlinear magma equation and its nonlocal conservation laws are computed.

Conservation laws play an important role in science. The aim of this thesis is to provide an overview and develop new methods for constructing conservation laws using Lie group theory. The derivation of conservation laws for invariant variational problems is based on Noether’s theorem. It is shown that the use of Lie-Bäcklund transformation groups allows one to reduce the number of basic conserved quantities for differential equations obtained by Noether’s theorem and construct a basis of conservation laws. Several examples on constructing a basis for some well-known equations are provided. Moreover, this approach allows one to obtain new conservation laws even for equations without Lagrangians. A formal Lagrangian can be introduced and used for computing nonlocal conservation laws. For self-adjoint or quasi-self-adjoint equations nonlocal conservation laws can be transformed into local conservation laws. One of the fields of applications of this approach is electromagnetic theory, namely, nonlocal conservation laws are obtained for the generalized Maxwell-Dirac equations. The theory is also applied to the nonlinear magma equation and its nonlocal conservation laws are computed. / <p>Thesis for the degree of Doctor of Philosophy</p>