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Zbl 1221.35418
Sinkala, W.
Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure. (English)
[J] Commun. Nonlinear Sci. Numer. Simul. 16, No. 1, 56-62 (2011). ISSN 1007-5704

Summary: Two approaches based on Lie group analysis are employed to obtain the closed-form solution of a partial differential equation derived by {\it F. A. Longstaff} [J. Fin. Econom. 23, 195--224 (1989)] for the price of a discount bond in the double-square-root model of the term structure.
MSC 2000:
*35Q91
35A30 Geometric theory for PDE, transformations
91G80

Keywords: Lie group analysis; partial differential equation; zero-coupon bond; interest rate models; financial mathematics

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Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

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