We investigate PDEs of the form u_t = 1/2 σ^2 (t, x)u_{xx} − g(x)u which are associated with the calculation of expectations for a large class of local volatility models. We find nontrivial symmetry groups that can be used to obtain standard integral transforms of fundamental solutions of the...

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...