Analytic bond pricing for short rate dynamics evolving on matrix Lie groups

DOI10.1080/14697688.2014.990497zbMath1468.91182OpenAlexW1973095285WikidataQ115295387 ScholiaQ115295387MaRDI QIDQ5001114

Nengli Lim, Nicolas Privault

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.990497

zbMATH Keywords

Mathieu equationLie groupsbond pricinginterest rate derivativesinterest rate modeling

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items

Polynomial diffusion models for life insurance liabilities ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups

Cites Work

• Markovian bridges and reversible diffusion processes with jumps
• Interest rates and information geometry
• Interest rate models on Lie groups
• Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
• Uniformly bounded Riesz bases and equiconvergence theorems
• Exponential functionals of Brownian motion and related processes
• Exact solution of the Schrödinger equation for the time-dependent harmonic oscillator
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