Integral Equations in Quantitative Finance: Pricing Kernels, Green Functions, and Derivatives Modeling

By Helena K. Marwood

Reactive Publishing

Integral Equations in Quantitative Finance is a technical guide to the mathematical structures used in modern derivatives pricing, stochastic modeling, and quantitative financial analysis.

Written for readers with a foundation in calculus, probability, and financial mathematics, this book examines how integral equations arise in pricing kernels, transition densities, boundary-value problems, and derivative valuation models. It connects abstract mathematical methods with practical applications in quantitative finance, offering a structured approach to understanding the role of kernels, Green functions, transforms, and numerical solution techniques.

Inside, readers will explore:

Integral equations and their role in financial modeling
Pricing kernels and state-price representations
Green functions in boundary-value and valuation problems
Connections between integral equations, PDEs, and stochastic processes
Applications to option pricing, fixed income models, and path-dependent derivatives
Numerical methods for solving finance-related integral equations
Modeling considerations for advanced derivatives analysis

This book is designed for quantitative analysts, financial engineers, graduate students, and technically oriented finance professionals who want a deeper understanding of how integral equation methods support pricing, valuation, and model construction in quantitative finance.

Clear, rigorous, and application-focused, Integral Equations in Quantitative Finance provides a focused reference for readers studying the mathematical foundations behind modern derivatives modeling.

• Format: Paperback
• Language: English
• ISBN: B0GYLG8NBV
• ISBN13: 9798258906908
• Release Date: April 2026
• Publisher: Independently published
• Length: 366 Pages
• Weight: 1.08 lbs.
• Dimensions: 9.0" x 0.8" x 6.0"