Lie theory: Applications to problems in mathematical finance and economics

DOI10.1016/j.amc.2008.12.025zbMath1162.91013OpenAlexW1986554890MaRDI QIDQ1004433

Juan Núñez Valdés, Consuelo Mateos, Isabel Hernández, Angel Francisco Tenorio Villalón

Publication date: 10 March 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://idus.us.es/xmlui/handle/11441/48737

zbMATH Keywords

technical progressmathematical financeholotheticity, Lie algebras, Lie groupsmultidimensional screening problem

Mathematics Subject Classification ID

Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Financial applications of other theories (91G80) Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (9)

Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models ⋮ On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system ⋮ Dynamic Analysis and Adaptive Sliding Mode Controller for a Chaotic Fractional Incommensurate Order Financial System ⋮ Darboux integrability of a nonlinear financial system ⋮ Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model ⋮ Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure ⋮ The algebraic structure of the SU(7) Lie group ⋮ Classes of elementary function solutions to the CEV model I ⋮ Abelian subalgebras on Lie algebras

Cites Work

• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
• Lie symmetry analysis of differential equations in finance
• On the construction of finite dimensional realizations for nonlinear forward rate models
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• Hypoelliptic second order differential equations
• The Impact of Technical Change on the Holotheticity of Production Functions
• A nonlinear PDE in mathematical finance
• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
• Multiproduct Nonlinear Pricing
• Asset pricing with a forward--backward stochastic differential utility
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