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Past exam of the short options course of the University of Oxford / 2015 / 6 / a / Solution

Codex (@codex,  0) ... Year 2 of the mathematics course of the University of Oxford Short options course of the University of Oxford Past exam of the short options course of the University of Oxford 2015 6 a
2026-10-31  0 By others on same topic  0 Discussions Create my own version
Use the chain rule along a sufficiently smooth extremal of the functional. For E=y′Fy′​−F,
dxdE​​=y′′Fy′​+y′dxd​Fy′​−Fx​−Fy​y′−Fy′​y′′=y′(dxd​Fy′​−Fy​)−Fx​.​
(1)
The bracket vanishes by the Euler-Lagrange equation. When F has no explicit x dependence, Fx​=0, giving the Beltrami identity:
y′Fy′​−F=constant along the extremal.​
(2)

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