Authors:
- 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: sn.pub/extras
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Table of contents (5 chapters)
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Front Matter
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Back Matter
About this book
Keywords
Reviews
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)
Authors and Affiliations
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Halle-Wittenberg, Martin-Luther-Universität, Halle (Saale), Germany
Wolfgang Paul
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Institut Charles Sadron, Université de Strasbourg, Strasbourg Cedex 2, France
Jörg Baschnagel
Bibliographic Information
Book Title: Stochastic Processes
Book Subtitle: From Physics to Finance
Authors: Wolfgang Paul, Jörg Baschnagel
DOI: https://doi.org/10.1007/978-3-319-00327-6
Publisher: Springer Cham
eBook Packages: Physics and Astronomy, Physics and Astronomy (R0)
Copyright Information: Springer International Publishing Switzerland 2013
Hardcover ISBN: 978-3-319-00326-9Published: 26 July 2013
Softcover ISBN: 978-3-319-03378-5Published: 06 August 2015
eBook ISBN: 978-3-319-00327-6Published: 11 July 2013
Edition Number: 2
Number of Pages: XIII, 280
Number of Illustrations: 43 b/w illustrations
Topics: Data-driven Science, Modeling and Theory Building, Quantitative Finance, Economic Theory/Quantitative Economics/Mathematical Methods, Mathematical Methods in Physics, Mathematical Applications in the Physical Sciences