Del i serien Undergraduate Lecture Notes in Physics

Physics and Finance

Inbunden, Engelska, 2021

AvVolker Ziemann

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This book introduces physics students to concepts and methods of finance. Despite being perceived as quite distant from physics, finance shares a number of common methods and ideas, usually related to noise and uncertainties. Juxtaposing the key methods to applications in both physics and finance articulates both differences and common features, this gives students a deeper understanding of the underlying ideas. Moreover, they acquire a number of useful mathematical and computational tools, such as stochastic differential equations, path integrals, Monte-Carlo methods, and basic cryptology. Each chapter ends with a set of carefully designed exercises enabling readers to test their comprehension.

Produktinformation

Utgivningsdatum2021-01-19
Mått155 x 235 x 22 mm
Vikt612 g
FormatInbunden
SpråkEngelska
SerieUndergraduate Lecture Notes in Physics
Antal sidor286
FörlagSpringer Nature Switzerland AG
ISBN9783030636425

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Volker Ziemann obtained his Ph.D. in accelerator physics from Dortmund University in 1990. After postdoctoral positions in Stanford at SLAC and in Geneva at CERN, where he worked on the design of the LHC, in 1995, he moved to Uppsala where he worked at the electron-cooler storage ring CELSIUS. In 2005, he moved to the physics department where he has since taught physics. He was responsible for several accelerator physics projects at CERN, DESY, and XFEL. In 2014, he received the Thuréus prize from the Royal Society of Sciences in Uppsala.

Chapter 1 - Introduction.- Chapter 2 - Concepts of finance.- Chapter 3 - Portfolio theory and CAPM.- Chapter 4 - Stochastic processes.- Chapter 5 - Black-Scholes differential equation.- Chapter 6 - The Greeks and risk management.- Chapter 7 - Regression models and hypothesis testing.- Chapter 8 - Time series.- Chapter 9 - Bubbles, crashes, fat tails and Levy-stable distributions.- Chapter 10 - Quantum finance and path integrals.- Chapter 11 - Optimal control theory.