Do All Integrable Evolution Equations Have the Painlev\'e Property?

We examine whether the Painleve property is necessary for the integrability of partial differential equations (PDEs). We show that in analogy to what happens in the case of ordinary differential equations (ODEs) there exists a class of PDEs, integrable through linearisation, which do not possess the Painleve property. The same question is addressed in a discrete setting where we show that there exist linearisable lattice equations which do not possess the singularity confinement property (again in analogy to the one-dimensional case).Comment: Published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA

Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility

We perform a classification of the Lie point symmetries for the Black--Scholes--Merton Model for European options with stochastic volatility, $\sigma$, in which the last is defined by a stochastic differential equation with an Orstein--Uhlenbeck term. In this model, the value of the option is given by a linear (1 + 2) evolution partial differential equation in which the price of the option depends upon two independent variables, the value of the underlying asset, $S$, and a new variable, $y$. We find that for arbitrary functional form of the volatility, $\sigma(y)$, the (1 + 2) evolution equation always admits two Lie point symmetries in addition to the automatic linear symmetry and the infinite number of solution symmetries. However, when $\sigma(y)=\sigma_{0}$ and as the price of the option depends upon the second Brownian motion in which the volatility is defined, the (1 + 2) evolution is not reduced to the Black--Scholes--Merton Equation, the model admits five Lie point symmetries in addition to the linear symmetry and the infinite number of solution symmetries. We apply the zeroth-order invariants of the Lie symmetries and we reduce the (1 + 2) evolution equation to a linear second-order ordinary differential equation. Finally, we study two models of special interest, the Heston model and the Stein--Stein model.Comment: Published version, 14pages, 4 figure

On solutions to the non-Abelian Hirota-Miwa equation and its continuum limits

In this paper, we construct grammian-like quasideterminant solutions of a non-Abelian Hirota-Miwa equation. Through continuum limits of this non-Abelian Hirota-Miwa equation and its quasideterminant solutions, we construct a cascade of noncommutative differential-difference equations ending with the noncommutative KP equation. For each of these systems the quasideterminant solutions are constructed as well.Comment: 9 pages, 1 figur