Stochastic Processes

From Physics to Finance

Häftad, Engelska, 2015

AvWolfgang Paul,Jörg Baschnagel,Jorg Baschnagel

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This book introduces the theory of stochastic processes with applications taken from physics and finance. 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.

Produktinformation

Utgivningsdatum2015-08-06
Mått155 x 235 x 17 mm
Vikt452 g
FormatHäftad
SpråkEngelska
Antal sidor280
Upplaga2
FörlagSpringer International Publishing AG
ISBN9783319033785

Tillhör följande kategorier

A First Glimpse of Stochastic Processes.- A Brief Survey of the Mathematics of Probability Theory.- Diffusion Processes.- Beyond the Central Limit Theorem: Lévy Distributions.- Modeling the Financial Market.- Stable Distributions Revisited.- Hyperspherical Polar Coordinates.- The Weierstrass Random Walk Revisited.- The Exponentially Truncated Lévy Flight.- Put–Call Parity.- Geometric Brownian Motion.

From the book reviews: "The authors, both physicists, have revised their successful book first published in 2000. ... the stochastic processes are presented clearly in mathematical language, e.g., with measure theoretical formalism, which makes the book readable for mathematicians. Its value for mathematicians, especially those who are already familiar with the basic ideas of mathematical finance, is in the many examples from physics, that provide a broad overview of the basic models and ideas of statistical physics." (Peter E. Kloeden, SIAM Review, Vol. 56 (4), December, 2014)