Generalized Integral Transforms in Mathematical Finance

by Alexander Lipton, Dmitry Muravey, Andrey Itkin

This book describes several techniques, first invented in physics for solving problems of heat and mass transfer, and applies them to various problems of mathematical finance defined in domains with moving boundaries. These problems include: (a) semi-closed form pricing of options in the one-factor models with time-dependent barriers (Bachelier, Hull-White, CIR, CEV); (b) analyzing an interconnected banking system in the structural credit risk model...

• Format: Hardcover
• Language: English
• ISBN: 9811231737
• ISBN13: 9789811231735
• Release Date: October 2021
• Publisher: World Scientific Publishing Company
• Length: 508 Pages
• Weight: 1.86 lbs.
• Dimensions: 1.1" x 6.0" x 9.0"