The purpose of the Institute of Mathematical Statistics (IMS) is to foster the development and dissemination of the theory and applications of statistics and probability. The Institute was formed at a ...

Reviews ordinary differential equations, including solutions by Fourier series. Physical derivation of the classical linear partial differential equations (heat, wave, and Laplace equations). Solution ...

In this article, we derive a series expansion of the multivariate normal probability integrals based on Fourier series. The basic idea is to transform the limits of each integral from hi to ∞ to be ...

The aim of this paper is to show the benefit of applying a three-dimensional Fourier cosine series expansion method in order to price and hedge multiasset spread options. The approach consists of ...

Amid the chaos of revolutionary France, one man’s mathematical obsession gave way to a calculation that now underpins much of mathematics and physics. The calculation, called the Fourier transform, ...