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

Author

Lim, Nengli and Privault, Nicolas

Subjects
*BOND prices, *INTEREST rates, *LIE groups, *MATHIEU equation, *WIENER processes
Abstract

We provide closed-form expressions for bond prices in interest rate models based on compact Lie groups. Our approach uses a Doob transform technique and PDE solutions by the Mathieu periodic functions. As a by-product, we derive formulas for bond option prices as well as new identities for the Laplace transform of periodic functionals of Brownian motion and Brownian diffusion processes. [ABSTRACT FROM AUTHOR]

Published
2016
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