On the usage of the Lie group symmetries for term structure models with nonlinear drift and squared volatility functions
One of the central tasks of financial analysis is the study of the behavior of the dynamics of interest rates. The most wellknown affine models are not able to describe real yield curves with the necessary accuracy, so more and more often researchers are trying to build more complex and, it is beli...
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| Format: | Article |
| Language: | Belarusian |
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Belarusian State University
2019-01-01
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| Series: | Журнал Белорусского государственного университета: Математика, информатика |
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| Online Access: | https://journals.bsu.by/index.php/mathematics/article/view/782 |