How Long to Read Generalized Integral Transforms In Mathematical Finance

How Long Does it Take to Read Generalized Integral Transforms In Mathematical Finance?

It takes the average reader 8 hours and 44 minutes to read Generalized Integral Transforms In Mathematical Finance by Andrey Itkin

Assuming a reading speed of 250 words per minute. Learn more

Description

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.

How long is Generalized Integral Transforms In Mathematical Finance?

Generalized Integral Transforms In Mathematical Finance by Andrey Itkin is 508 pages long, and a total of 131,064 words.

This makes it 171% the length of the average book. It also has 160% more words than the average book.

How Long Does it Take to Read Generalized Integral Transforms In Mathematical Finance Aloud?

The average oral reading speed is 183 words per minute. This means it takes 11 hours and 56 minutes to read Generalized Integral Transforms In Mathematical Finance aloud.

What Reading Level is Generalized Integral Transforms In Mathematical Finance?

Generalized Integral Transforms In Mathematical Finance is suitable for students ages 12 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Generalized Integral Transforms In Mathematical Finance?

Generalized Integral Transforms In Mathematical Finance by Andrey Itkin is sold by several retailers and bookshops. However, Read Time works with Amazon to provide an easier way to purchase books.

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