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1 Paul, Wolfgang Stochastic Processes I07071 2013 eBook  
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TitleStochastic Processes : From Physics to Finance
Author(s)Paul, Wolfgang;Baschnagel, J??rg
PublicationCham, Springer International Publishing, 2013.
DescriptionXIII, 280 p : online resource
Abstract NoteThis??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
ISBN,Price9783319003276
Keyword(s)1. Data-driven Science, Modeling and Theory Building 2. EBOOK 3. EBOOK - SPRINGER 4. ECONOMIC THEORY 5. Economic Theory/Quantitative Economics/Mathematical Methods 6. Economics, Mathematical?? 7. ECONOPHYSICS 8. Mathematical Applications in the Physical Sciences 9. Mathematical Methods in Physics 10. MATHEMATICAL PHYSICS 11. PHYSICS 12. Quantitative Finance 13. Sociophysics
Item TypeeBook
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Accession#  Call#StatusIssued ToReturn Due On Physical Location
I07071     On Shelf    

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