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. DOI https://doi.org/10.1002/mma.935
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. DOI https://doi.org/10.1002/mma.935
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. DOI https://doi.org/10.1002/mma.935
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 > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 01 Feb 2013 15:19 |
| Last Modified: | 29 Oct 2024 09:11 |
| URI: | http://repository.essex.ac.uk/id/eprint/5449 |