Stochastic Processes
From Physics to Finance
2nd Edition
Published on 6. August 2015
Book
Paperback/Softback
XIII, 280 pages
978-3-319-03378-5 (ISBN)
Description
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.
Reviews / Votes
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)
More details
Edition
Softcover reprint of the original 2nd ed. 2013
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Research
Illustrations
43 s/w Abbildungen
XIII, 280 p. 43 illus.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 17 mm
Weight
452 gr
ISBN-13
978-3-319-03378-5 (9783319033785)
DOI
10.1007/978-3-319-00327-6
Schweitzer Classification
Other editions
Additional editions
Book
07/2013
2nd Edition
Springer
€149.79
Shipment within 10-15 days
Content
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.