ABSTRACT

The Fourier transform method of Chapter 12 is used here, among other methods, to solve partial differential equations of parabolic type, which are of fundamental importance in Mathematical Finance. The exposition presented in this Chapter 13 exploits the material contained in various references; in particular, we mention [14, 54], Chapter 6 of [1], § 2.4 of [8], Chapter 4 of [22], Chapter 4 of [56], and Chapter 6 of [58].