SKU: 17520006003

Generalized Integral Transforms in Mathematical Finance

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Generalized Integral Transforms in Mathematical FinanceThis 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

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.

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SKU: 17520006003

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So, I know the foam is going to wear out quick on these, but they are so warm I dont even care. I will update when they start getting beat up. But so far these are great. The soles on these arent the best. Its coushioned now, but even so my foot hangs off it. BUT, it is thick material and its keeping my feet and more importantly my ankles warm. Thats why I bought these. These isnt much on the bottoms to keep you from slipping hut what they have seems to be alright for now on hardwood floors. They fit true to size and are nice and stretchy, just beware the sole is a bit slim. For example my pinky toe hangs off it on both sides almost fully. Still a 7/10 would recommend for lounging around the house.
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I am a male with pretty large feet (Mens size 14US) and wanted some very warm slippers to wear around the house. I have nerve issues in my toes and if I don't keep my feet very warm they start to hurt. I wanted something both comfortable and warm. I received these a few days ago and so far they have done a great job at keeping my feet warm. The linings are thick and fluffy and the bottoms feel like they have a memory foam inner sole in them. The tops can either be worn up or rolled down. The actual soles are a soft leather-like material. They are thicker than normal cloth, but not hard like rubber soled slippers (I actually wanted something that was more of a slipper and less of a "shoe"). The only down side is that they don't really seem to have a left and right to them (both slippers seem identical), and for awhile no matter how I wore them, they felt a bit like they were on the wrong feet. However, they seem to have formed themselves to my feet and now (through wearing them) it definitely feels like there is a left and a right. I don't know how long these will last, but they were not expensive, so if I get a few months of wear from them, I will be happy and will just order another pair when these wear out. They aren't the most attractive slippers in the world, but they aren't horrible looking and they are very functional.
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