Generalized Integral Transforms In Mathematical Finance

Generalized Integral Transforms In Mathematical Finance
Author: Andrey Itkin
Publisher: World Scientific
Total Pages: 508
Release: 2021-10-12
Genre: Business & Economics
ISBN: 9811231753

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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 with default contagion; (c) finding first hitting time density for a reducible diffusion process; (d) describing the exercise boundary of American options; (e) calculating default boundary for the structured default problem; (f) deriving a semi-closed form solution for optimal mean-reverting trading strategies; to mention but some.The main methods used in this book are generalized integral transforms and heat potentials. To find a semi-closed form solution, we need to solve a linear or nonlinear Volterra equation of the second kind and then represent the option price as a one-dimensional integral. Our analysis shows that these methods are computationally more efficient than the corresponding finite-difference methods for the backward or forward Kolmogorov PDEs (partial differential equations) while providing better accuracy and stability.We extend a large number of known results by either providing solutions on complementary or extended domains where the solution is not known yet or modifying these techniques and applying them to new types of equations, such as the Bessel process. The book contains several novel results broadly applicable in physics, mathematics, and engineering.

Integral Transforms of Generalized Functions

Integral Transforms of Generalized Functions
Author: Brychkov
Publisher: CRC Press
Total Pages: 362
Release: 1989-04-20
Genre: Mathematics
ISBN: 9782881247057

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English translation (from revised and enlarged versions of the Russian editions of 1977 and 1984) of a reference work which makes available to engineers, physicists and applied mathematicians theoretical and tabular material pertaining to certain extensions of standard integral transform techniques. Diverse transforms are touched upon, but the emphasis (particularly in the tables) is on generalized Fourier and Laplace transforms. Some multi-dimensional results are presented. Expensive, but nicely produced, and redundant with nothing standard to the reference shelves of mathematical libraries. (NW) Annotation copyrighted by Book News, Inc., Portland, OR

Integral Transforms and Their Applications

Integral Transforms and Their Applications
Author: Lokenath Debnath
Publisher: CRC Press
Total Pages: 723
Release: 2016-04-19
Genre: Mathematics
ISBN: 1420010913

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Keeping the style, content, and focus that made the first edition a bestseller, Integral Transforms and their Applications, Second Edition stresses the development of analytical skills rather than the importance of more abstract formulation. The authors provide a working knowledge of the analytical methods required in pure and applied mathematics, physics, and engineering. The second edition includes many new applications, exercises, comments, and observations with some sections entirely rewritten. It contains more than 500 worked examples and exercises with answers as well as hints to selected exercises. The most significant changes in the second edition include: New chapters on fractional calculus and its applications to ordinary and partial differential equations, wavelets and wavelet transformations, and Radon transform Revised chapter on Fourier transforms, including new sections on Fourier transforms of generalized functions, Poissons summation formula, Gibbs phenomenon, and Heisenbergs uncertainty principle A wide variety of applications has been selected from areas of ordinary and partial differential equations, integral equations, fluid mechanics and elasticity, mathematical statistics, fractional ordinary and partial differential equations, and special functions A broad spectrum of exercises at the end of each chapter further develops analytical skills in the theory and applications of transform methods and a deeper insight into the subject A systematic mathematical treatment of the theory and method of integral transforms, the book provides a clear understanding of the subject and its varied applications in mathematics, applied mathematics, physical sciences, and engineering.

Integral Transforms and Operational Calculus

Integral Transforms and Operational Calculus
Author: H. M. Srivastava
Publisher: MDPI
Total Pages: 510
Release: 2019-11-20
Genre: Technology & Engineering
ISBN: 303921618X

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Researches and investigations involving the theory and applications of integral transforms and operational calculus are remarkably wide-spread in many diverse areas of the mathematical, physical, chemical, engineering and statistical sciences. This Special Issue contains a total of 36 carefully-selected and peer-reviewed articles which are authored by established researchers from many countries. Included in this Special Issue are review, expository and original research articles dealing with the recent advances on the topics of integral transforms and operational calculus as well as their multidisciplinary applications

An Introduction to Integral Transforms and Their Applications

An Introduction to Integral Transforms and Their Applications
Author: Olga Moreira
Publisher: Arcler Press
Total Pages: 0
Release: 2018-12
Genre: Mathematics
ISBN: 9781773615547

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The Fourier, Laplace, Mellin, Hilbert, and Hankel transforms are classic examples of integral equations with numerous applications in several fields of science and engineering, When mapping a function from one domain into another, integral transforms provide an elegant solution for many mathematical problems that are algebraically difficult to solve in their original domain but of simpler solution in the target domain. The Fourier transform, for example, maps an original signal (represented by a function of time) into its coresponding power spectrum in the frequency domain. Therefore, the Fourier transform plays an essential role in data analysis of periodic signals, decomposing the incoming signal into the frequencies that its consists of. The Laplace transform converts a convolution in the original domain into a simple multiplication in the target domain. This transform has extensive applications in the fields of engineering and physics research involving the analysis of time-invariant systems in which the output signal is calculated as the convolution between the impulse response and the input signal. Many applications of probability theory also rely on integral transforms, such as statistics that are based on kernel functions. This book is a collection of contemporary open access articles which highlight the importance of integral transforms and their applications. In particular, three topics are discussed: Analysis of generalized functions for integral transform and their properties; Methods for solving the Cauchy problem (initial value or boundary problems) for space-time partial differential equations; Applications of integral transform, including fractional methods, to solving systems of differential equations in physics, signal processing, quantum mechanics and mechanical engineering. The generalization of global estimates for various integral transforms is discussed by Vindas & Estrada (2006). The properties kernels of Laplace-typed integral transform and q-Laplace transforms were studied by Kim (2017) and Naik & Haubold (2016), respectively. Transform methods for convex polygons are derived by Crowdy (2015); the analysis of singular integral equations (Li, 2017); matrix integral transforms (Yaremko & Yaremko, 2016), Sumudu transforms (Rahman & Ahmad, 2015) are also included in this book. The remaining content of this book focuses on applications of the integral transform as a method for solving various differential equations. This book is mainly addressed to physicists, advanced undergraduate and graduate students in the Natural Sciences and Mechanical Engineering. Book jacket.

Integral Transformations, Operational Calculus, and Generalized Functions

Integral Transformations, Operational Calculus, and Generalized Functions
Author: R.G. Buschman
Publisher: Springer Science & Business Media
Total Pages: 248
Release: 2013-11-27
Genre: Mathematics
ISBN: 1461312833

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It is not the object of the author to present comprehensive cov erage of any particular integral transformation or of any particular development of generalized functions, for there are books available in which this is done. Rather, this consists more of an introductory survey in which various ideas are explored. The Laplace transforma tion is taken as the model type of an integral transformation and a number of its properties are developed; later, the Fourier transfor mation is introduced. The operational calculus of Mikusinski is pre sented as a method of introducing generalized functions associated with the Laplace transformation. The construction is analogous to the construction of the rational numbers from the integers. Further on, generalized functions associated with the problem of extension of the Fourier transformation are introduced. This construction is anal ogous to the construction of the reals from the rationals by means of Cauchy sequences. A chapter with sections on a variety of trans formations is adjoined. Necessary levels of sophistication start low in the first chapter, but they grow considerably in some sections of later chapters. Background needs are stated at the beginnings of each chapter. Many theorems are given without proofs, which seems appro priate for the goals in mind. A selection of references is included. Without showing many of the details of rigor it is hoped that a strong indication is given that a firm mathematical foundation does actu ally exist for such entities as the "Dirac delta-function".

2021-2022 MATRIX Annals

2021-2022 MATRIX Annals
Author: David R. Wood
Publisher: Springer Nature
Total Pages: 905
Release: 2024
Genre: Electronic books
ISBN: 3031474171

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MATRIX is Australia’s international and residential mathematical research institute. It facilitates new collaborations and mathematical advances through intensive residential research programs, each 1-2 weeks in duration. This book is a scientific record of the 24 programs held at MATRIX in 2021-2022, including tandem workshops with Mathematisches Forschungsinstitut Oberwolfach (MFO), with Research Institute for Mathematical Sciences Kyoto University (RIMS), and with Sydney Mathematical Research Institute (SMRI).

Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference

Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference
Author: David Gershon
Publisher: World Scientific
Total Pages: 554
Release: 2022-12-21
Genre: Business & Economics
ISBN: 9811259151

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This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.