Stochastic Processes

From Physics to Finance

Authors: Paul, Wolfgang, Baschnagel, Jorg

  • 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
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eBook $84.99
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  • ISBN 978-3-319-00327-6
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Hardcover $109.00
price for USA
  • ISBN 978-3-319-00326-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover n/a
  • ISBN 978-3-319-03378-5
  • Free shipping for individuals worldwide
Rent the ebook  
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About this book

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

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)


Table of contents (5 chapters)

  • A First Glimpse of Stochastic Processes

    Paul, Wolfgang (et al.)

    Pages 1-16

  • A Brief Survey of the Mathematics of Probability Theory

    Paul, Wolfgang (et al.)

    Pages 17-61

  • Diffusion Processes

    Paul, Wolfgang (et al.)

    Pages 63-129

  • Beyond the Central Limit Theorem: Lévy Distributions

    Paul, Wolfgang (et al.)

    Pages 131-162

  • Modeling the Financial Market

    Paul, Wolfgang (et al.)

    Pages 163-235

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-3-319-00327-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-3-319-00326-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover n/a
  • ISBN 978-3-319-03378-5
  • Free shipping for individuals worldwide
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Processes
Book Subtitle
From Physics to Finance
Authors
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-00327-6
DOI
10.1007/978-3-319-00327-6
Hardcover ISBN
978-3-319-00326-9
Softcover ISBN
978-3-319-03378-5
Edition Number
2
Number of Pages
XIII, 280
Number of Illustrations and Tables
43 b/w illustrations
Topics