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Symmetry group methods for fundamental solutions

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Abstract

This paper uses Lie symmetry group methods to study PDEs of the form We show that when the drift function f is a solution of a family of Ricatti equations, then symmetry techniques can be used to find a fundamental solution.

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  • Mark Craddock & Eckhard Platen, 2004. "Symmetry group methods for fundamental solutions," Published Paper Series 2004-6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:2004-6
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    1. Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Platen, Eckhard, 2000. "A minimal financial market model," SFB 373 Discussion Papers 2000,91, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    Cited by:

    1. Mark Craddock & Kelly A Lennox, 2006. "Lie Group Symmetries as Integral Transforms of Fundamental Solutions," Research Paper Series 183, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Alexander Lipton, 2023. "Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results," Papers 2309.04547, arXiv.org.
    3. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
    4. Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Craddock, Mark & Grasselli, Martino, 2020. "Lie symmetry methods for local volatility models," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3802-3841.
    6. Mark Craddock & Eckhard Platen, 2009. "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series 246, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Mark Craddock, 2017. "Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions," Research Paper Series 380, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Alexander Lipton, 2024. "Hydrodynamics of Markets:Hidden Links Between Physics and Finance," Papers 2403.09761, arXiv.org.
    9. Oraby, T. & Suazo, E. & Arrubla, H., 2023. "Probabilistic solutions of fractional differential and partial differential equations and their Monte Carlo simulations," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
    10. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    11. Shunwei Zhu & Bo Wang, 2019. "Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1421-1442, April.
    12. Mark Craddock & Martino Grasselli, 2016. "Lie Symmetry Methods for Local Volatility Models," Research Paper Series 377, Quantitative Finance Research Centre, University of Technology, Sydney.

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