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J. C. Ndogmo

Publications and source records attributed to J. C. Ndogmo.

22 records · Page 2Linked to original sources

Symmetry properties of a nonlinear acoustics model

We give a classification into conjugacy classes of subalgebras of the symmetry algebra generated by the Zabolotskaya-Khokhlov equation, and obtain all similarity reductions of this equation into $(1+1)$-dimensional equations. We thus show that Lie classical reduction approach may also give rise to more general reduced equations as those expected from the direct method of Clarkson and Kruskal. By transforming the determining system for the similarity variables into the equivalent adjoint system of total differential equations, similarity reductions to {\sc ode}s which are independent of the three arbitrary functions defining the symmetries are also obtained. These results are again compared with those obtained by the direct method of Clarkson and Kruskal, by finding in particular equivalence transformations mapping some of the reduced equations to each other. Various families of new exact solutions are also derived.

math.OC↗

High-order accurate implicit methods for the pricing of barrier options

This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or discretely. In addition to the high-order accuracy of the scheme, and the stretching effect of the coordinate transformation, the main feature of this approach lies on a probability-based optimal determination of boundary conditions. This leads to much faster and accurate results when compared with similar pricing approaches. The strength of the present scheme is particularly demonstrated in the valuation of discretely monitored barrier options where it yields values closest to those obtained from the only semi-analytical valuation method available.

q-fin.PR↗

Invariants of differential equations defined by vector fields

We determine the most general group of equivalence transformations for a family of differential equations defined by an arbitrary vector field on a manifold. We also find all invariants and differential invariants for this group up to the second order. A result on the characterization of classes of these equations by the invariant functions is also given.

math-ph↗