Transition density for CIR process by Lie symmetries and application to ZCB pricing

DOI10.12732/IJPAM.V88I2.7MaRDI QIDQ2867720zbMATH OpenOpenAlexFDO

Authors Luca Di Persio, Francesco Cordoni

Publication date 20 December 2013

Published in International Journal of Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL http://www.ijpam.eu/contents/2013-88-2/7/index.html

zbMATH Keywords

CIR processstochastic differential equationstransition densitiesdiffusion processesLie symmetry groups

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80)

Recommendations

• Density symmetries for a class of 2-D diffusions with applications to finance
• Estimates on the transition densities of Girsanov transforms of symmetric stable processes
• scientific article; zbMATH DE number 6130062
• scientific article; zbMATH DE number 1487971
• Transition densities for interest rate and other nonlinear diffusions
• scientific article; zbMATH DE number 2051030
• SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK
• Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets
• Transition probabilities for symmetric jump processes

Cited in

(3)

• Mild solutions to the dynamic programming equation for stochastic optimal control problems
• Lie symmetry approach to the CEV model
• Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds

This page was built for publication: Transition density for CIR process by Lie symmetries and application to ZCB pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2867720)