Lie theory: Applications to problems in mathematical finance and economics
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Publication:1004433
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)
Recommendations
- Lie symmetries and certain equations of financial mathematics
- Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics
- An optimal system and group-invariant solutions of the zero-coupon bond pricing models
- Advances in Lie groups and applications in applied sciences
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
Cites work
- scientific article; zbMATH DE number 2130503 (Why is no real title available?)
- scientific article; zbMATH DE number 3862865 (Why is no real title available?)
- scientific article; zbMATH DE number 3638903 (Why is no real title available?)
- A geometric view of interest rate theory
- A nonlinear PDE in mathematical finance
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
- Asset pricing with a forward--backward stochastic differential utility
- CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
- Finite dimensional Markovian realizations for forward price term structure models
- Hypoelliptic second order differential equations
- Lie symmetry analysis of differential equations in finance
- Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
- Multiproduct Nonlinear Pricing
- OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
- The Impact of Technical Change on the Holotheticity of Production Functions
- Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
Cited in
(13)- Abelian subalgebras on Lie algebras
- Some applications of Lie groups in theory of technical progress
- Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
- Darboux integrability of a nonlinear financial system
- Dynamic analysis and adaptive sliding mode controller for a chaotic fractional incommensurate order financial system
- The algebraic structure of the SU(7) Lie group
- 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
- Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics
- On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Classes of elementary function solutions to the CEV model I
- Financial Lie groups
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