Wolfgang Paul, Jörg Baschnagel

Stochastic Processes

From Physics to Finance

• Gebundenes Buch

Produktbeschreibung

This book introduces the theory of stochastic processes with applications taken from physics and finance. It includes a discussion of extreme events, ranging from their mathematical definition to their importance for financial crashes.

Produktdetails

• Verlag: Springer / Springer International Publishing / Springer, Berlin
• Artikelnr. des Verlages: 86232776, 978-3-319-00326-9
• 2. Aufl.
• Seitenzahl: 296
• Erscheinungstermin: 26. Juli 2013
• Englisch
• Abmessung: 241mm x 160mm x 21mm
• Gewicht: 607g
• ISBN-13: 9783319003269
• ISBN-10: 3319003267
• Artikelnr.: 37478344

Inhaltsangabe

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.

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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 book reviews:

"The authors, both physicists, have revised their successful book first published in 2000. ... the stochastic processes are presented clearly in mathematical language, e.g., with measure theoretical formalism, which makes the book readable for mathematicians. Its value for mathematicians, especially those who are already familiar with the basic ideas of mathematical finance, is in the many examples from physics, that provide a broad overview of the basic models and ideas of statistical physics." (Peter E. Kloeden, SIAM Review, Vol. 56 (4), December, 2014)

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."