9783319003276
IR
EN-50190
انگلیسی
IR
Stochastic Processe
[Book]
:From Physics to Finance
/ by Wolfgang Paul, Jrg Baschnagel
2nd ed. 2013.
Heidelberg
: Springer International Publishing :Imprint: Springer,
, 2013.
XIII, 280 p. 43 illus., online resource.
Electronic
Thisbook 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 enlargesthe 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.
A First Glimpse of Stochastic Processes -- A Brief Survey of the Mathematics of Probability Theory -- Diffusion Processes -- Beyond the Central Limit Theorem: L?شvy Distributions -- Modeling the Financial Market -- Stable Distributions Revisited -- Hyperspherical Polar Coordinates -- The Weierstrass Random Walk Revisited -- The Exponentially Truncated L?شvy Flight -- Put-Call Parity -- Geometric Brownian Motion.?╗╣
Physics
Finance
Mathematical physics
Economics, Mathematical
Electronic books
E-BOOK
Paul, Wolfgang.
Baschnagel, J?╢rg
SpringerLink (Online service)
ایران
9783319003269.pdf
عادی
عادی
9783319003269.pdf
متن
old catalog
e
BL
1
a
Y
