Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
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- Invariance properties of a general bond-pricing equation
- Lie subalgebras, reduction of order, and group-invariant solutions
- Lie symmetry analysis of differential equations in finance
- Lie theory: Applications to problems in mathematical finance and economics
- LIE, a PC program for Lie analysis of differential equations
- New solutions to the bond-pricing equation via Lie's classical method
- Symmetries and differential equations
- Symmetries of Differential Equations: From Sophus Lie to Computer Algebra
- Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
- Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
- The Mathematics of Financial Derivatives
- Tractable forms of the bond pricing equation
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
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(6)- New solutions to the bond-pricing equation via Lie's classical method
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- On the derivation of nonclassical symmetries of the Black-Scholes equation via an equivalence transformation
- Lie symmetry analysis of a first-order feedback model of option pricing
- On the usage of the Lie group symmetries for term structure models with nonlinear drift and squared volatility functions
- Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
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