Download or read book Generalized Integral Transforms In Mathematical Finance written by Andrey Itkin and published by World Scientific. This book was released on 2021-10-12 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Generalized Integral Transformations written by Armen H. Zemanian and published by . This book was released on 1968 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Integral Transforms of Generalized Functions written by Brychkov and published by CRC Press. This book was released on 1989-04-20 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Integral Transforms and Their Applications written by Lokenath Debnath and published by CRC Press. This book was released on 2016-04-19 with total page 723 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Generalized Integral Transformations written by Zemanian and published by . This book was released on 1987-05-01 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applied Integral Transforms written by M. Ya. Antimirov and published by American Mathematical Soc.. This book was released on 2007 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Integral Transforms and Operational Calculus written by H. M. Srivastava and published by MDPI. This book was released on 2019-11-20 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book An Introduction to Integral Transforms and Their Applications written by Olga Moreira and published by Arcler Press. This book was released on 2018-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Integral Transformations Operational Calculus and Generalized Functions written by R.G. Buschman and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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".
Download or read book 2021 2022 MATRIX Annals written by David R. Wood and published by Springer Nature. This book was released on 2024 with total page 905 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Download or read book Options 45 Years Since The Publication Of The Black scholes merton Model The Gershon Fintech Center Conference written by David Gershon and published by World Scientific. This book was released on 2022-12-21 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Integral Transforms of Generalized Functions and Their Applications written by Ram Shankar Pathak and published by Routledge. This book was released on 2017-07-05 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Integral Transforms in Applied Mathematics written by John W. Miles and published by Cambridge University Press. This book was released on 2008-11-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intermediate-level text on the use of integral transforms in applied mathematics and engineering. Existing works either cover the subject in more elementary form or are advanced treatises. In a very lucid style the author deals with the use of this important mathematical tool to solve ordinary and partial differential equations in problems in electrical circuits, mechanical vibration and wave motion, heat conduction, and fluid mechanics. The book is divided into five parts covering integral transform pairs, the Laplace transform, Fourier transforms, Hankel transforms, and finite Fourier transforms. A basic knowledge of complex variables and elementary differential equations is assumed. There are many exercises and examples drawn from the above fields, tables of the transform pairs needed in the text, and a glossary of terms with which the student may be unfamiliar. For the student who seeks further background on the subject, an annotated bibliography is provided.
Download or read book Lectures on the Mathematics of Finance written by Ioannis Karatzas and published by American Mathematical Soc.. This book was released on 1997 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.
Download or read book Integral and Discrete Transforms with Applications and Error Analysis written by Abdul Jerri and published by CRC Press. This book was released on 2021-11-19 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt: This reference/text desribes the basic elements of the integral, finite, and discrete transforms - emphasizing their use for solving boundary and initial value problems as well as facilitating the representations of signals and systems.;Proceeding to the final solution in the same setting of Fourier analysis without interruption, Integral and Discrete Transforms with Applications and Error Analysis: presents the background of the FFT and explains how to choose the appropriate transform for solving a boundary value problem; discusses modelling of the basic partial differential equations, as well as the solutions in terms of the main special functions; considers the Laplace, Fourier, and Hankel transforms and their variations, offering a more logical continuation of the operational method; covers integral, discrete, and finite transforms and trigonometric Fourier and general orthogonal series expansion, providing an application to signal analysis and boundary-value problems; and examines the practical approximation of computing the resulting Fourier series or integral representation of the final solution and treats the errors incurred.;Containing many detailed examples and numerous end-of-chapter exercises of varying difficulty for each section with answers, Integral and Discrete Transforms with Applications and Error Analysis is a thorough reference for analysts; industrial and applied mathematicians; electrical, electronics, and other engineers; and physicists and an informative text for upper-level undergraduate and graduate students in these disciplines.
Download or read book Integral Transforms in Applied Mathematics written by John W. Miles and published by Cambridge University Press. This book was released on 2008-11-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intermediate-level text on the use of integral transforms in applied mathematics and engineering. Existing works either cover the subject in more elementary form or are advanced treatises. In a very lucid style the author deals with the use of this important mathematical tool to solve ordinary and partial differential equations in problems in electrical circuits, mechanical vibration and wave motion, heat conduction, and fluid mechanics. The book is divided into five parts covering integral transform pairs, the Laplace transform, Fourier transforms, Hankel transforms, and finite Fourier transforms. A basic knowledge of complex variables and elementary differential equations is assumed. There are many exercises and examples drawn from the above fields, tables of the transform pairs needed in the text, and a glossary of terms with which the student may be unfamiliar. For the student who seeks further background on the subject, an annotated bibliography is provided.
Download or read book Integral Transforms and Operational Calculus written by Vitaliĭ Arsenʹevich Ditkin and published by Pergamon. This book was released on 1965 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fourier transforms -- Laplace transforms -- Bessel transforms -- Other integral transforms -- Operational calculus -- Summary of notation for special functions and certain constraints -- Fourier cosine transforms -- Fourier sine transforms -- Laplace-Carson transforms -- Mellin transforms -- Bessel transforms -- Other integral transforms.
