Generalized Integral Transforms In Mathematical Finance
By: authored by Andrey Itkin, Alexander Lipton & Dmitry Muravey
Edition: First edition
Publisher: World Scientific Publishing Company Pte Ltd.
Published: October 15, 2021
Place of publication: Singapore
Language: eng
Format: Hardcover
Number of pages: 512
ISBN-13: 9789811231735
Copyright date: ©2022
Other titles: Transformações integrais generalizadas em finanças matemáticas
Description: Overall, the book will help readers who want to learn modern analyti-cal tools for solving various applied problems of mathematical finance andphysics.  From the mathematical perspective, the level of details is closer tothe applied rather than to the abstract or pure theoretical mathematics.The book could also be a subject of a semester course on integral trans-forms  and  their  financial  applications  for  Master  and  Ph.D.  programs  incomputational finance or financial engineering or, possibly, applied mathe-matics.  It can also be used to train practitioners who want to extend theirknowledge of modern tools of mathematical and computational finance.
Notes: Contains bibliography and index at pages 455 and 471 respectively. List of figures are provided at page xxvii.
Table of contents: title: - Foreword; title: - Preface; title: - About the Authors; title: - Acknowledgments; title: - List of Figures; title: - PART 1.  One-Factor Financial Modelsand Problems; title: - Stochastic Engines and Partial Differential Equations; title: - Popular One-Factor Models by Asset Classes; title: - PART 2.  Integral Equations53; title: - Fredholm Integral Equations; title: - Volterra Integral Equations; title: - Solving Integral Equations Numerically; title: - PART 3.  Integral Transforms; title: - Classical Integral Transforms; title: - Generalized Integral Transforms; title: - Method of Heat Potentials; title: - PART 4.  Equities, FX, and Commodities; title: - Barrier and American Options; title: - On the First Hitting Time Density for a Reducible Diffusion Process; title: - Optimal Mean-Reverting Trading Strategies; title: - PART 5.  Fixed Income; title: - Barrier Options in the Hull-White Model; title: - Barrier Options in the Time-Dependent CEV and CIR Models; title: - Barrier Options in the BK and Verhulst Models; title: - PART 6.  Credit and Miscellaneous Problems; title: - Calibrating the Default Boundary to a Constant Default Intensity; title: - McKean-Vlasov Equation with Feedback Through Hitting a Boundary; title: - Miscellaneous Problems; title: - PART 7.  Multilayer Problems; title: - Double Barrier Options; title: - Appendices; title: - Multilayer Heat Equations:  Application to Finance; title: - Appendices; title: - Bibliography; title: - Index