The Lie symmetry approach on (1+ 2)-dimensional financial models
K Charalambous, S Kontogiorgis… - … Differential Equations and …, 2021 - Springer
We consider a class of nonlinear (1+ 2) partial differential equations which generalizes a
number of models which appear in financial mathematics. These models are subject to …
number of models which appear in financial mathematics. These models are subject to …
Review of stochastic differential equations in statistical arbitrage pairs trading
S Endres - Managerial Economics, 2019 - ceeol.com
The use of stochastic differential equations offers great advantages for statistical arbitrage
pairs trading. In particular, it allows the selection of pairs with desirable properties, eg, strong …
pairs trading. In particular, it allows the selection of pairs with desirable properties, eg, strong …