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Lie Theory: Applications to problems in Mathematical Finance and Economics · Study

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ArticleLie Theory: Applications to problems in Mathematical Finance and Economics

Consuelo Mateos Contreras2008

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Articlegreen2008

Lie Theory: Applications to problems in Mathematical Finance and Economics

Consuelo Mateos Contreras · Juan Núñez Valdés · Ángel Francisco Tenorio Villalón

18 citations·0/0 files stored·Applied Mathematics and Computation

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Stochastic processes and financial applications Advanced Differential Geometry Research Advanced Topics in Algebra

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References

1996Multiproduct Nonlinear Pricing 1978Stochastic calculus of variations and hypoelliptic operators 2001Option Pricing, Interest Rates and Risk Management 2010Paris-Princeton Lectures on Mathematical Finance 2010 2002On the construction of finite dimensional realizations for nonlinear forward rate models 2010A Geometric View of Interest Rate Theory 2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS 2001Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

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2016Invariant approach to optimal investment–consumption problem: the constant elasticity of variance (CEV) model

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Year2008

Typearticle

Published2008-12-25

VenueApplied Mathematics and Computation

ISSN-L0096-3003

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.amc.2008.12.025

openalex_workW1986554890

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