Free Delivery Over $100
|
|
|||
|
||||
OverviewThis 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. Full Product DetailsAuthor: Wolfgang Paul , Jörg BaschnagelPublisher: Springer International Publishing AG Imprint: Springer International Publishing AG Edition: 2nd ed. 2013 Dimensions: Width: 15.50cm , Height: 1.70cm , Length: 23.50cm Weight: 5.679kg ISBN: 9783319003269ISBN 10: 3319003267 Pages: 280 Publication Date: 26 July 2013 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsA 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.Reviews<p>From the reviews: <p>BULLETIN OF MATHEMATICS BOOKS <p> 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. Author InformationTab Content 6Author Website:Countries AvailableAll regions |
||||
