Stochastic Processes

From Physics to Finance

Nonfiction, Science & Nature, Science, Other Sciences, System Theory, Mathematics, Applied, Social & Cultural Studies, Social Science
Cover of the book Stochastic Processes by Wolfgang Paul, Jörg Baschnagel, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Wolfgang Paul, Jörg Baschnagel ISBN: 9783319003276
Publisher: Springer International Publishing Publication: July 11, 2013
Imprint: Springer Language: English
Author: Wolfgang Paul, Jörg Baschnagel
ISBN: 9783319003276
Publisher: Springer International Publishing
Publication: July 11, 2013
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Excursions in Harmonic Analysis, Volume 5 by Wolfgang Paul, Jörg Baschnagel
Cover of the book Energy, Complexity and Wealth Maximization by Wolfgang Paul, Jörg Baschnagel
Cover of the book Current Topics in Czech and Central European Geography Education by Wolfgang Paul, Jörg Baschnagel
Cover of the book Non-technological Innovations for Sustainable Transport by Wolfgang Paul, Jörg Baschnagel
Cover of the book Input-to-State Stability for PDEs by Wolfgang Paul, Jörg Baschnagel
Cover of the book Compressed Sensing and Its Applications by Wolfgang Paul, Jörg Baschnagel
Cover of the book Mass-Market Fiction and the Crisis of American Liberalism, 1972–2017 by Wolfgang Paul, Jörg Baschnagel
Cover of the book Hayek: A Collaborative Biography by Wolfgang Paul, Jörg Baschnagel
Cover of the book The Monsoons and Climate Change by Wolfgang Paul, Jörg Baschnagel
Cover of the book Singular Limits in Thermodynamics of Viscous Fluids by Wolfgang Paul, Jörg Baschnagel
Cover of the book Problems, Philosophy and Politics of Climate Science by Wolfgang Paul, Jörg Baschnagel
Cover of the book Recent Global Research and Education: Technological Challenges by Wolfgang Paul, Jörg Baschnagel
Cover of the book Environmental and Microbial Relationships by Wolfgang Paul, Jörg Baschnagel
Cover of the book Evolutionary Computation and Complex Networks by Wolfgang Paul, Jörg Baschnagel
Cover of the book Statistical Language and Speech Processing by Wolfgang Paul, Jörg Baschnagel
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy