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Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions

Sinkala, W and Leach, PGL and O'Hara, JG (2008) 'Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions.' Mathematical Methods in the Applied Sciences, 31 (6). pp. 665-678. ISSN 0170-4214

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Abstract

We compute prices of zero-coupon bonds in the Vasicek and Cox?Ingersoll?Ross interest rate models as group-invariant solutions. Firstly, we determine the symmetries of the valuation partial differential equation that are compatible with the terminal condition and then seek the desired solution among the invariant solutions arising from these symmetries. We also point to other possible studies on these models using the symmetries admitted by the valuation partial differential equations.

Item Type: Article
Uncontrolled Keywords: Lie symmetry analysis; Vasicek model; Cox?Ingersoll?Ross model; zero-coupon bond; group-invariant solutions; interest rate models; partial differential equations
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health
Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 01 Feb 2013 15:19
Last Modified: 06 Jan 2022 13:38
URI: http://repository.essex.ac.uk/id/eprint/5449

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