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Stochastic Processes - From Physics to Finance (Hardcover, 2nd ed. 2013)
Loot Price: R4,104
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Stochastic Processes - From Physics to Finance (Hardcover, 2nd ed. 2013)
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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.
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