Lie theory: Applications to problems in mathematical finance and economics
DOI10.1016/J.AMC.2008.12.025zbMATH Open1162.91013OpenAlexW1986554890MaRDI QIDQ1004433FDOQ1004433
Authors: Isabel Hernández, Consuelo Mateos, Juan Núñez Valdés, Angel Francisco Tenorio Villalon 
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
Recommendations
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mathematical financetechnical progressholotheticity, Lie algebras, Lie groupsmultidimensional screening problem
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Geometric theory, characteristics, transformations in context of PDEs (35A30) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Financial applications of other theories (91G80)
Cites Work
- Hypoelliptic second order differential equations
- Asset pricing with a forward--backward stochastic differential utility
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Title not available (Why is that?)
- Lie symmetry analysis of differential equations in finance
- Multiproduct Nonlinear Pricing
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
- Title not available (Why is that?)
- Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
- Title not available (Why is that?)
- Finite dimensional Markovian realizations for forward price term structure models
- CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
- Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
- OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
- A nonlinear PDE in mathematical finance
- Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
- A geometric view of interest rate theory
- The Impact of Technical Change on the Holotheticity of Production Functions
Cited In (13)
- Darboux integrability of a nonlinear financial system
- Some applications of Lie groups in theory of technical progress
- Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics
- Dynamic analysis and adaptive sliding mode controller for a chaotic fractional incommensurate order financial system
- Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
- Financial Lie groups
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Abelian subalgebras on Lie algebras
- Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- The algebraic structure of the SU(7) Lie group
- Classes of elementary function solutions to the CEV model I
- On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system
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