Generalized Integral Transforms in Mathematical Finance
DOI10.1142/12147zbMath1492.91007MaRDI QIDQ5164298
Andrey Itkin, Dmitry Muravey, Alexander Lipton-Lifschitz
Publication date: 10 November 2021
Full work available at URL: https://doi.org/10.1142/12147
integral transforms; integral equations; credit risk; commodities; equities; FX; fixed income; one-factor financial models
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60G07: General theory of stochastic processes
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
35B30: Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs
44A10: Laplace transform
44A20: Integral transforms of special functions
45P05: Integral operators
91G40: Credit risk
45Q05: Inverse problems for integral equations
44A05: General integral transforms
91G15: Financial markets
