Generalized integral transforms in mathematical finance

DOI10.1142/12147MaRDI QIDQ5164298zbMATH OpenOpenAlexFDO

Authors Andrey Itkin, Dmitry Muravey, Alexander Lipton

Publication date 10 November 2021

Full work available at URL https://doi.org/10.1142/12147

zbMATH Keywords

commoditiescredit riskequitiesfixed incomeFXintegral equationsintegral transformsone-factor financial models

Mathematics Subject Classification ID

Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) General integral transforms (44A05) Laplace transform (44A10) Integral transforms of special functions (44A20) Integral operators (45P05) Inverse problems for integral equations (45Q05) General theory of stochastic processes (60G07) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial markets (91G15) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40) Financial applications of other theories (91G80)

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Cited in

(4)

• Old problems, classical methods, new solutions
• Old problems, classical methods, new solutions
• Semi-analytical pricing of options written on SOFR futures
• Dimension-wise integration of high-dimensional functions with applications to finance

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