Invariant approaches to equations of finance
From MaRDI portal
(Redirected from Invariant approaches to equations of finance)
Summary: We firstly show how effective it is to utilize the invariant criteria for scalar linear \((1+1)\) parabolic equations in order to perform reductions to the three Lie canonical forms of a bond-pricing model from finance. As a consequence we arrive at new results on bond-pricing equations that admit four nontrivial symmetries. In the second part we draw attention to a new method developed for equations of economics.
Recommendations
- Invariance properties of a general bond-pricing equation
- Optimal systems and group invariant solutions for a model arising in financial mathematics
- The Lie symmetry approach on (1+2)-dimensional financial models
- Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance
- Group classification of a general bond-option pricing equation of mathematical finance
Cited in
(7)- Group classification of a general bond-option pricing equation of mathematical finance
- Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
- A simple equation solver and its application to financial modelling
- Closed-form solutions via the invariant approach for one-factor commodity models
- scientific article; zbMATH DE number 5026335 (Why is no real title available?)
- A terminal condition in linear bond-pricing under symmetry invariance
- Invariance properties of a general bond-pricing equation
This page was built for publication: Invariant approaches to equations of finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1649232)
