Stochastic Processes

From Physics to Finance
1. Auflage. Softcover version of original hardcover Auflage 1999
ISBN: 978-3-642-08582-6
Verlag: Springer

Buch, Englisch, 232 Seiten, Paperback, Format (B × H): 152 mm x 229 mm, Gewicht: 365 g

This book presents an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods, and are taken mainly from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.

Zielgruppe

Research

Autoren/Hrsg.

Baschnagel, Jörg

Paul, Wolfgang

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik
• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme

Inhaltsverzeichnis

1. A First Glimpse of Stochastic Processes; 2. A Brief Survey of the Mathematics of Probability Theory; 3. Diffusion Processes; 4. Beyond the Central Limit Theorem: Lévy Distributions; 5. Modeling the Financial Market; Appendices