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Analytic bond pricing for short rate dynamics evolving on matrix Lie groups.
- Source :
-
Quantitative Finance . Jan2016, Vol. 16 Issue 1, p119-129. 11p. - Publication Year :
- 2016
-
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]
- Subjects :
- *BOND prices
*INTEREST rates
*LIE groups
*MATHIEU equation
*WIENER processes
Subjects
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 16
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 111968755
- Full Text :
- https://doi.org/10.1080/14697688.2014.990497