Tractable forms of the bond pricing equation

DOI10.1016/J.MCM.2003.09.034MaRDI QIDQ1764962zbMATH OpenOpenAlexFDO

Authors Joanna Goard, Philip Broadbridge, Gaurav Raina

Publication date 22 February 2005

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2003.09.034

zbMATH Keywords

Bond pricing equationCanonical formShort-rate

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3448056 (Why is no real title available?)
• scientific article; zbMATH DE number 920058 (Why is no real title available?)
• scientific article; zbMATH DE number 3046362 (Why is no real title available?)
• New solutions to the bond-pricing equation via Lie's classical method
• Pricing interest-rate-derivative securities
• Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries

Cited in

(8)

• An algorithm for solving bond pricing problem.
• Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
• Fundamental solutions for zero-coupon bond pricing models
• Bond pricing formulas for Markov-modulated affine term structure models
• ON THE FOUR-PARAMETER BOND PRICING MODEL
• An Integral Equation Approach for Bond Prices with Applications to Credit Spreads
• Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
• Invariance properties of a general bond-pricing equation

Describes a project that uses

Uses Software

• Algorithm 368

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