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World Scientific Publishing Company World Scientific Generalized Integral Transforms in Finance

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Description

Explore advanced mathematical techniques in Generalized Integral Transforms In Mathematical Finance by World Scientific Publishing Company. This specialized text adapts physics-based methods, originally used for heat and mass transfer, to solve complex problems within mathematical finance. Readers will find detailed applications for domains with moving boundaries, including semi-closed form pricing of options in one-factor models such as Bachelier, Hull-White, CIR, and CEV. The book also covers the analysis of interconnected banking systems through structural credit risk models with default contagion. Additionally, it provides methods for finding first hitting time density for reducible diffusion processes and describes the exercise boundary of American options. This work serves as a technical resource for professionals and students studying applied mathematics and financial modeling.

Key Features

World Scientific Publishing Company presents a technical study on applying physics-based integral transforms to mathematical finance.

Covers semi-closed form pricing for one-factor models with time-dependent barriers including Bachelier, Hull-White, CIR, and CEV.

Provides methods for analyzing interconnected banking systems using the structural credit risk model with default contagion.

Includes mathematical approaches for finding first hitting time density for a reducible diffusion process.

Details the exercise boundary of American options within domains involving moving boundaries.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
15 October 2021
Listed Since
04 December 2020

Barcode

No barcode data available

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