Overview

This book presents an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods, and are taken mainly from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.

Full Product Details

Author:   Wolfgang Paul ,  Jörg Baschnagel
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   Softcover reprint of hardcover 1st ed. 1999
Dimensions:   Width: 15.50cm , Height: 1.40cm , Length: 23.50cm
Weight:   0.454kg
ISBN:  

9783642085826

ISBN 10:   3642085822
Pages:   232
Publication Date:   15 December 2010
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

1. A First Glimpse of Stochastic Processes; 2. A Brief Survey of the Mathematics of Probability Theory; 3. Diffusion Processes; 4. Beyond the Central Limit Theorem: Levy Distributions; 5. Modeling the Financial Market; Appendices

Reviews

From the reviews: BULLETIN OF MATHEMATICS BOOKS While this book is oriented toward students of physics, it could well be appreciated by a wider mathematical audience!The text offers a rare opportunity to have a unified and modern treatment of stochastic processes in physics and finance.

From the reviews: BULLETIN OF MATHEMATICS BOOKS While this book is oriented toward students of physics, it could well be appreciated by a wider mathematical audience...The text offers a rare opportunity to have a unified and modern treatment of stochastic processes in physics and finance.

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