Generalized Integral Transforms in Mathematical Finance / (Record no. 44389)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02589nam a22003135i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | CUTN |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250527171324.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 210721s2021 nju 000 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9789811231735 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9789811231742 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9789811231759 |
| 041 ## - LANGUAGE CODE | |
| Language | English |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | pcc |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.015 |
| Item number | ITK |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Itkin, Andrey, |
| 245 10 - TITLE STATEMENT | |
| Title | Generalized Integral Transforms in Mathematical Finance / |
| Statement of responsibility, etc | Andrey Itkin, Alexander Lipton, Dmitry Muravey. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Singapore : |
| Name of publisher, distributor, etc | World Scientific Publishing Company, |
| Date of publication, distribution, etc | 2022. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xxxiii, 473 pages : |
| Other physical details | illustrations (black and white, some color) ; |
| Dimensions | 24 cm. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | "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"-- |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Lipton, Alexander, |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Muravey, Dmitry, |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | General Books |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Relator term | author. |
| 263 ## - PROJECTED PUBLICATION DATE | |
| Projected publication date | 2108 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Relator term | author. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Relator term | author. |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) | |
| a | 0 |
| b | ibc |
| c | orignew |
| d | 2 |
| e | epcn |
| f | 20 |
| g | y-gencatlg |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Home library | Location | Shelving location | Date of Cataloging | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Non-fiction | CUTN Central Library | CUTN Central Library | Social Sciences | 27/05/2025 | 332.015 ITK | 50342 | 27/05/2025 | 27/05/2025 | General Books |