Invariance properties of a general bond-pricing equation
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Publication:925045
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Cites work
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- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
- Fundamental solutions for zero-coupon bond pricing models
- LIE, a PC program for Lie analysis of differential equations
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- New solutions to the bond-pricing equation via Lie's classical method
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- Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
- Symmetry group methods for fundamental solutions
- Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
- Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
Cited in
(34)- Group classification of a general bond-option pricing equation of mathematical finance
- Algebraic solution of the Stein-Stein model for stochastic volatility
- Optimal systems and group invariant solutions for a model arising in financial mathematics
- Group classification of a generalization of the Heath equation
- Embedding the Vasicek model into the Cox-Ingersoll-Ross model
- The algebraic properties of the space- and time-dependent one-factor model of commodities
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Group classification of a generalized Black-Scholes-Merton equation
- On the resolution of a remarkable bond pricing model from financial mathematics: application of the deductive group theoretical technique
- Painlevé analysis, Lie symmetries, and exact solutions for the time-dependent coefficients gardner equations
- An optimal system and group-invariant solutions of the zero-coupon bond pricing models
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- Invariant approaches to equations of finance
- Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
- Lie symmetry analysis and exact solutions of the Sawada-Kotera equation
- Symmetry reductions and exact solutions to the Sharma-Tasso-Olever equation
- Equivalence and symmetries for variable coefficient linear heat type equations. I
- Symmetries of the Black-Scholes-Merton equation for European options
- Algorithmic framework for group analysis of differential equations and its application to generalized Zakharov-Kuznetsov equations
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
- Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
- A terminal condition in linear bond-pricing under symmetry invariance
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance
- New solutions to the bond-pricing equation via Lie's classical method
- Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance
- Symmetry analysis of a model of stochastic volatility with time-dependent parameters
- Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
- Closed-form solutions via the invariant approach for one-factor commodity models
- Painlevé analysis, group classification and exact solutions to the nonlinear wave equations
- Symmetries of the backward heat equation with potential and interest rate models
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