Interest rate models on Lie groups

DOI10.1080/14697680903468963zbMath1214.91121OpenAlexW2162122651WikidataQ115295389 ScholiaQ115295389MaRDI QIDQ3005817

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Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903468963

zbMATH Keywords

financial engineeringaffine term structure modelsfinancial mathematicsinterest rate modelling

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

The algebraic structure of the SU(7) Lie group ⋮ Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n) ⋮ Analytic bond pricing for short rate dynamics evolving on matrix Lie groups ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups ⋮ A new definition of rough paths on manifolds

Cites Work

• Unnamed Item
• Statistics on the manifold of multivariate normal distributions: theory and application to diffusion tensor MRI processing
• High order Runge-Kutta methods on manifolds
• Numerical integration of ordinary differential equations on manifolds
• On the geometry of the term structure of interest rates
• Some explicit formulas for the matrix exponential

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