Jörg Baschnagel: Stochastic Processes | Buch

Cover: 9783319003269 | Stochastic Processes | From Physics to Finance | Baschnagel (u. a.)

Rückseite: 9783319003269 | Stochastic Processes | From Physics to Finance | Baschnagel (u. a.)

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Sprache: Englisch

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Beschreibung

This 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.

Zusammenfassung

Contains a careful treatment of Levy processes

Displays classical and modern examples for the application of stochastic processes

Introduces stochastic processes in finance for natural scientists

Presents the physicists view on financial markets

Discusses econophysics of financial crashes

Includes supplementary material: [...]

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2013
Fachbereich:	Astronomie
Genre:	Mathematik , Medizin , Naturwissenschaften , Physik , Technik
Rubrik:	Naturwissenschaften & Technik
Thema:	Lexika
Medium:	Buch
Inhalt:	xiii 280 S. 43 s/w Illustr. 280 p. 43 illus.
ISBN-13:	9783319003269
ISBN-10:	3319003267
Sprache:	Englisch
Herstellernummer:	86232776
Einband:	Gebunden
Autor:	Baschnagel, Jörg Paul, Wolfgang
Auflage:	2nd edition 2013
Hersteller:	Springer International Publishing Springer International Publishing AG
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 21 mm
Von/Mit:	Jörg Baschnagel (u. a.)
Erscheinungsdatum:	26.07.2013
Gewicht:	0,612 kg