Verwandte Artikel zu Stochastic Processes: From Physics to Finance

Stochastic Processes: From Physics to Finance - Softcover

Paul, Wolfgang; Baschnagel, Jörg

 
9783319033785: Stochastic Processes: From Physics to Finance
Softcover
ISBN 10: 3319033786 ISBN 13: 9783319033785
Verlag: Springer, 2015

Inhaltsangabe

This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.

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Von der hinteren Coverseite

This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.

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Verlag
Springer
Erscheinungsdatum
2015
Sprache
Englisch
ISBN 10 
3319033786
ISBN 13 
9783319033785
Einband
Taschenbuch
Anzahl der Seiten
296
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