Stochastic Processes: From Physics to Finance - Couverture souple

Paul, Wolfgang; Baschnagel, Jörg

Couverture souple

ISBN 10 : 3319033786 ISBN 13 : 9783319033785

Editeur : Springer, 2015

Synopsis

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.

A propos du livre

Présentation de l'éditeur

This book introduces the theory of stochastic processes with applications taken from physics and finance. It includes a discussion of extreme events, ranging from their mathematical definition to their importance for financial crashes.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2015
• Langue: anglais
• ISBN 10: 3319033786
• ISBN 13: 9783319033785
• Reliure: Broché
• Nombre de pages: 296
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3,69115 Heidelberg, Germany; Heidelberg; 69115; Allemagne