Generalized Integral Transforms In Mathematical Finance
Generalized Integral Transforms In Mathematical Finance

Author: Andrey Itkin

Publisher: World Scientific

Published: 2021-10-12

Total Pages: 508

ISBN-13: 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 and Their Applications
Integral Transforms of Generalized Functions and Their Applications

Author: Ram Shankar Pathak

Publisher: Routledge

Published: 2017-07-05

Total Pages: 432

ISBN-13: 135156269X

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For those who have a background in advanced calculus, elementary topology and functional analysis - from applied mathematicians and engineers to physicists - researchers and graduate students alike - this work provides a comprehensive analysis of the many important integral transforms and renders particular attention to all of the technical aspects of the subject. The author presents the last two decades of research and includes important results from other works.

Integral Transforms of Generalized Functions
Integral Transforms of Generalized Functions

Author: Brychkov

Publisher: CRC Press

Published: 1989-04-20

Total Pages: 362

ISBN-13: 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

Applied Integral Transforms
Applied Integral Transforms

Author: M. Ya. Antimirov

Publisher: American Mathematical Soc.

Published: 2007

Total Pages: 288

ISBN-13: 9780821843147

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This book constructs the kernels of integral transforms by solving the generalized Sturm-Liouville problems associated with the partial differential equations at hand. In the first part of the book, the authors construct the kernels and use them to solve elementary problems of mathematical physics. This part requires little mathematical background and provides an introduction to the subject of integral transforms as it proceeds mainly by examples and includes a variety of exercises. In the second part of the book, the method of integral transforms is used to solve modern applied problems in convective stability, temperature fields in oil strata, and eddy-current testing. The choice of topics reflects the authors' research experience and involvement in industrial applications. The first part of the book is accessible to undergraduates, while the second part is aimed at graduate students and researchers. Because of the applications, the book will interest engineers (especially petroleum engineers) and physicists.

Handbook of Function and Generalized Function Transformations
Handbook of Function and Generalized Function Transformations

Author: Ahmed I. Zayed

Publisher: CRC Press

Published: 1996-05-15

Total Pages: 684

ISBN-13: 9780849378515

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Function transformations, which include linear integral transformations, are some of the most important mathematical tools for solving problems in all areas of engineering and the physical sciences. They allow one to quickly solve a problem by breaking it down into a series of smaller, more manageable problems. The author has compiled the most important and widely used of these function transforms in applied mathematics and electrical engineering. In addition to classical transforms, newer transforms such as wavelets, Zak, and Radon are included. The book is neither a table of transforms nor a textbook, but it is a source book that provides quick and easy access to the most important properties and formulas of function and generalized function transformations. It is organized for convenient reference, with chapters broken down into the following sections:

Integral Transformations, Operational Calculus, and Generalized Functions
Integral Transformations, Operational Calculus, and Generalized Functions

Author: R.G. Buschman

Publisher: Springer

Published: 2013-11-26

Total Pages: 240

ISBN-13: 9781461285489

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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".

Integral Transforms in Computational Heat and Fluid Flow
Integral Transforms in Computational Heat and Fluid Flow

Author: Renato Machado Cotta

Publisher: CRC Press

Published: 2020-12-18

Total Pages: 351

ISBN-13: 1000099407

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Integral Transforms in Computational Heat and Fluid Flow is a comprehensive volume that emphasizes the generalized integral transform technique (G.I.T.T.) and the developments that have made the technique a powerful computational tool of practical interest. The book progressively demonstrates the approach through increasingly difficult extensions and test problems. It begins with an overview of the generalized integral transform technique in contrast with classical analytical ideas. Various applications are presented throughout the book, including transient fin analysis with time-dependent surface dissipation, laminar forced convection inside externally finned tubes, metals oxidation at high temperatures, forced convection in liquid metals, and Navier-Stokes equations.

Integral Transforms and their Applications
Integral Transforms and their Applications

Author: B. Davies

Publisher: Springer Science & Business Media

Published: 2013-11-11

Total Pages: 427

ISBN-13: 1489926917

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In preparing this second edition I have restricted myself to making small corrections and changes to the first edition. Two chapters have had extensive changes made. First, the material of Sections 14.1 and 14.2 has been rewritten to make explicit reference to the book of Bleistein and Handelsman, which appeared after the original Chapter 14 had been written. Second, Chapter 21, on numerical methods, has been rewritten to take account of comparative work which was done by the author and Brian Martin, and published as a review paper. The material for all of these chapters was in fact, prepared for a transla tion of the book. Considerable thought has been given to a much more com prehensive revision and expansion of the book. In particular, there have been spectacular advances in the solution of some non-linear problems using isospectra1 methods, which may be re garded as a generalization of the Fourier transform. However, the subject is a large one, and even a modest introduction would have added substantially to the book. Moreover, the recent book by Dodd et al. is at a similar level to the present volume. Similarly, I have refrained from expanding the chapter on num erical methods into a complete new part of the book, since a specialized monograph on numerical methods is in preparation in collaboration with a colleague.

Mortality
Mortality

Author: Christopher Hitchens

Publisher: Atlantic Books Ltd

Published: 2012-08-25

Total Pages: 84

ISBN-13: 0857897659

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The world's greatest contrarian confronts his own death in this brave and unforgettable book. During the American book tour for his memoir, Hitch-22, Christopher Hitchens collapsed in his hotel room with excruciating pain in his chest. As he would later write in the first of a series of deeply moving Vanity Fair pieces, he was being deported 'from the country of the well across the stark frontier that marks off the land of malady.' Over the next year he experienced the full force of modern cancer treatment. Mortality is at once an unsparingly honest account of the ravages of his disease, an examination of cancer etiquette, and the coda to a lifetime of fierce debate and peerless prose. In this moving personal account of illness, Hitchens confronts his own death - and he is combative and dignified, eloquent and witty to the very last.