Embedding the Vasicek model into the Cox-Ingersoll-Ross model
DOI10.1002/mma.1342zbMath1205.35319MaRDI QIDQ3067817
No author found.
Publication date: 13 January 2011
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.1342
partial differential equation; interest rate model; Cox-Ingersoll-Ross model; Vasicek model; financial mathematics; Lie symmetry analysis; zero-coupon bond
91G80: Financial applications of other theories
58J70: Invariance and symmetry properties for PDEs on manifolds
58D19: Group actions and symmetry properties
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
58J72: Correspondences and other transformation methods (e.g., Lie-Bäcklund) for PDEs on manifolds
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Invariance properties of a general bond-pricing equation
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
- DIMSYM and LIE: Symmetry determination packages
- New solutions to the bond-pricing equation via Lie's classical method
- Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
- Fundamental solutions for zero-coupon bond pricing models
- An Intertemporal General Equilibrium Model of Asset Prices
- The Mathematics of Financial Derivatives
- Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
- An equilibrium characterization of the term structure
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
- LIE, a PC program for Lie analysis of differential equations
