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q-fin.MF2015
Retarded action principle and self-financing portfolio dynamics
Dmitry Lesnik
We derive a consistent differential representation for the dynamics of a self-financing portfolio for different hedging strategies. In the basis of the derivation there is the so c…
math.OC2015
Intrinsic Storage Valuation by Variational Analysis
Dmitry Lesnik
The mathematical problem concerning intrinsic storage optimisation is formulated and solved by means of variational analysis. The solution, though obtained in implicit form, still…