Generalized Integral Transforms in Mathematical Finance

Andrey Itkin, Alexander Lipton and Dmitry Muravey
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Andrey Itkin: New York University, USA
Alexander Lipton: Hebrew University of Jerusalem, Israel
Dmitry Muravey: Moscow State University, Russia

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Mathematical Finance; Generalized Integral Transforms; Heat Potentials; Semi-Closed Form Solutions; Advanced Analytics; Barrier Options; Time-Dependent Barrier; Moving Boundaries; American Options; Partial Differential Equations; First Hitting Time Density (search for similar items in EconPapers)
JEL-codes: C02 C6 C63 (search for similar items in EconPapers)
Date: 2021
ISBN: 9789811231735
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Citations: View citations in EconPapers (6)

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