Generalized Integral Transforms In Mathematical Finance - Image 1

£96.14

World Scientific Publishing Company Generalized Integral Transforms In Mathematical Finance

Name: Generalized Integral Transforms In Mathematical Finance
Brand: World Scientific Publishing Company
Price: 96.14 GBP
Availability: InStock

Applied Mathematics

Price data last checked 61 day(s) ago - refreshing...

View at Amazon

We'll watch every seller, every day. One email when your price arrives.

It has never been this cheap. We have no record of a lower price.

£96 today · cheaper than every other day in the last 3 months

NEW HERE?

Amazon shows you one price. We show you all of them.

Tosheroon watches Amazon prices so you don't have to. Every product on Amazon has a price history — we make it visible. Set the price you'd actually pay, and we'll email you the second it gets there. No app, no account, one email.

WHAT'S ON THIS PAGE

↓ Price chart
when this has been cheap or pricey

↓ Forecast
where the price is heading next

↓ Statistics
all-time high & low, recent range

↑ Price alert
name your number, we'll email you

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 30 days · 30 data points (no recent data)

Historical

Generating forecast…

Price Distribution

Price distribution over 30 days • 1 price levels

Days at Price

Price Analysis

Most common price: £96 (30 days, 100.0%)

Price range: £96 - £96

Price levels: 1 different prices over 30 days

Description

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.

Product Specifications

Brand: World Scientific Publishing Company
Format: hardcover
ASIN: 9811231737
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 15 October 2021
Listed Since: 04 December 2020

Barcode

No barcode data available

World Scientific Publishing Company Generalized Integral Transforms In Mathematical Finance

It has never been this cheap. We have no record of a lower price.

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Applied Quantitative Finance for Equity Derivatives: Fifth Edition

Cambridge Financial Calculus - Derivative Pricing Textbook

Numerical Methods for Finance (Chapman & Hall/CRC Financial Mathematics)

Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)

Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-Income Market

Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series)

Financial Mathematics: A Comprehensive Treatment in Discrete Time (Chapman and Hall/CRC Financial Mathematics Series)

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

Financial Products: An Introduction Using Mathematics and Excel

Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation: 1

Numerical Methods in Finance with C++ (Mastering Mathematical Finance)

Financial Engineering: Derivatives and Risk Management

Deterministic And Stochastic Topics In Computational Finance

The Mathematics of Finance: Modeling and Hedging (Pure and Applied Undergraduate Texts)

Financial Derivative and Energy Market Valuation: Theory and Implementation in MATLAB

Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Pricing Financial Instruments: The Finite Difference Method: 13 (Wiley Series in Financial Engineering)