OPTIMAL SYSTEMS AND GROUP INVARIANT SOLUTIONS FOR A MODEL ARISING IN FINANCIAL MATHEMATICS-Reference-Cited by-同舟云学术

OPTIMAL SYSTEMS AND GROUP INVARIANT SOLUTIONS FOR A MODEL ARISING IN FINANCIAL MATHEMATICS

Published:2009-12-31 Issue:4 Volume:14 Page:495-502
ISSN:1392-6292
Container-title:Mathematical Modelling and Analysis
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Author:

Nteumagne Bienvenue Feugang¹,Moitsheki Raseelo J.¹

Affiliation:

1. University of the Witwatersrand Center for Differential Equations Continuum Mechanics and Applications, School of Computational and Applied Mathematics, Private Bag 3, WITS 2050, South Africa

Abstract

We consider a bond‐pricing model described in terms of partial differential equations (PDEs). Classical Lie point symmetry analysis of the considered PDEs resulted in a number of point symmetries being admitted. The one‐dimensional optimal system of subalgebras is constructed. Following the symmetry reductions, we determine the group‐invariant solutions.

Publisher

Vilnius Gediminas Technical University

Subject

Modelling and Simulation,Analysis

Reference17 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. Symmetries and Differential Equations

3. New solutions to the bond-pricing equation via Lie's classical method

4. Tractable forms of the bond pricing equation

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