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.
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."