In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group Gf,e, supported by the halfspace of capitalized financial events having the same sign of e. The Lie group Gf,e depends on the capitalization factor f and on the event e itself. After the extention of the definition of exponential map of a Lie group, we shall eliminate the dependence on the financial event e, recognizing the precence of essen- tialy one unique financial Lie semigroup, supported by the entire space of capitalized financial events, determined by the capitalization factor f.
Lie group structures for financial evolutions
CARFI', David
2011-01-01
Abstract
In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group Gf,e, supported by the halfspace of capitalized financial events having the same sign of e. The Lie group Gf,e depends on the capitalization factor f and on the event e itself. After the extention of the definition of exponential map of a Lie group, we shall eliminate the dependence on the financial event e, recognizing the precence of essen- tialy one unique financial Lie semigroup, supported by the entire space of capitalized financial events, determined by the capitalization factor f.Pubblicazioni consigliate
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