Tractable forms of the bond pricing equation
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Publication:1764962
DOI10.1016/j.mcm.2003.09.034zbMath1112.91035MaRDI QIDQ1764962
Philip Broadbridge, Joanna M. Goard, Gaurav Raina
Publication date: 22 February 2005
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2003.09.034
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K15: Initial value problems for second-order parabolic equations
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Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure, Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
Uses Software
Cites Work
- New solutions to the bond-pricing equation via Lie's classical method
- A Theory of the Term Structure of Interest Rates
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
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