Multilayer heat equations and their solutions via oscillating integral transforms

On 12 July QuantMinds Edge: Option pricing, trading and volatility kicked off. Joining us on  the day was Andrey Itkin, Adjunct Professor, Department of Finance and Risk Engineering, New York University. He spoke about multilayer heat equations, a subject he has previously published research on with QuantMinds.Andrey Itkin has also previously written for us about the lambda-SABR model and generalized integral transforms in mathematical finance. 

Watch the video below: