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  • Search: subject:"transition densities"
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Year of publication
Subject
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transition densities 4 fundamental solutions 3 Lie symmetry groups 2 Laplce transformations 1 barrier options 1 diffusions 1 first-passage times 1 lie symmetry groups 1 minimal market model 1 real-world pricing 1 rebates 1 representation theory 1 short range models 1 squared bessel processes 1 zero coupon bond pricing 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 4
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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Undetermined 3 English 1
Author
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Craddock, Mark 3 Hulley, Hardy 1 Lennox, Kelly A 1 Lennox, Kelly A. 1 Platen, Eckhard 1
Institution
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Finance Discipline Group, Business School 3
Published in...
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Research Paper Series / Finance Discipline Group, Business School 3 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 1
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Integral transform and lie symmetry methods for scalar and multi-dimensional diffusions
Craddock, Mark - 2017
Persistent link: https://www.econbiz.de/10011778142
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Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions
Craddock, Mark; Lennox, Kelly A. - Finance Discipline Group, Business School - 2010
In this paper we introduce methods based upon Lie symmetry analysis for the construction of explicit fundamental solutions of multidimensional parabolic PDEs. We give applications to the problem of finding transition probability densities for multidimensional diffusions and to representation theory.
Persistent link: https://www.econbiz.de/10008506971
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Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
Hulley, Hardy; Platen, Eckhard - Finance Discipline Group, Business School - 2007
Using a simple integral identity, we derive general expressions for the Laplace transform of the transition density of the process, if killing or reflecting boundaries are specified. We also obtain a number of useful expressions for the Laplace transforms of some functions of first-passage times...
Persistent link: https://www.econbiz.de/10004984604
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Lie Group Symmetries as Integral Transforms of Fundamental Solutions
Craddock, Mark; Lennox, Kelly A - Finance Discipline Group, Business School - 2006
We obtain fundamental solutions for PDEs of the form ut = x uxx +f(x)ux ??xru by showing that if the symmetry group of the PDE is nontrivial, it contains a standard integral transform of the fundamental solution. We show that in this case, the problem of finding a fundamental solution can be...
Persistent link: https://www.econbiz.de/10005073663
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