Wolfgang Paul, Jörg Baschnagel

Stochastic Processes

From Physics to Finance

• Broschiertes Buch

Produktbeschreibung

From the reviews: "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." Bulletin of Mathematics Books

Produktdetails

• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-642-08582-6
• Softcover reprint of hardcover 1st ed. 1999
• Seitenzahl: 248
• Erscheinungstermin: 15. Dezember 2010
• Englisch
• Abmessung: 229mm x 152mm x 14mm
• Gewicht: 382g
• ISBN-13: 9783642085826
• ISBN-10: 3642085822
• Artikelnr.: 32056875

Inhaltsangabe

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: Lévy Distributions; 5. Modeling the Financial Market; Appendices

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A 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.

Rezensionen

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."