40 citations · 93 across the 11 of their papers we have counts for
13 papers
A Differential-Geometric Framework for Risk-Optimal Asset Reallocation
Georgios Leventidis, Evangelos Melas
We develop a differential-geometric framework for risk-optimal portfolio reallocation. A long-only portfolio is represented as a point of the probability simplex, endowed with a po…
Elementary functions solutions to the Bachelier model generated by Lie point symmetries
Evangelos Melas
Under the recent negative interest rate situation, the Bachelier model has been attracting attention and adopted for evaluating the price of interest rate options. In this paper we…
Representations of the Bondi-Metzner-Sachs group in three space-time dimensions in the Hilbert topology I. Determination of the representations
Evangelos Melas
The original BondiMetzner-Sachs (BMS) group B is the common asymptotic symmetry group of all asymptotically flat Lorentzian 4-dim spacetimes. As such, B is the best candidate…
Nonlinear Invariants of Planar Point Clouds Transformed by Matrices
Stelios Kotsios, Evangelos Melas
The goal of this paper is to present invariants of planar point clouds, that is functions which take the same value before and after a linear transformation of a planar point cloud…
Classes of elementary function solutions to the CEV model. I
Evangelos Melas
The CEV model subsumes some of the previous option pricing models. An important parameter in the model is the parameter b, the elasticity of volatility. For b=0, b=-1/2, and b=-1 t…
On the Liouvillian solutions to the perturbation equations of the Schwarzschild black hole
Evangelos Melas
We use Kovacic's algorithm to obtain all Liouvillian solutions, i.e., essentially all solutions in terms of quadratures, of the master equation which governs the evolution of first…