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Stochastic Processes From Physics to Finance

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 a...

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Bibliographic Details
Main Authors: Paul, Wolfgang, Baschnagel, Jörg (Author)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2013, 2013
Edition:2nd ed. 2013
Subjects:
Complex Systems
Mathematics In Business, Economics And Finance
Mathematical Physics
System Theory
Quantitative Economics
Social Sciences / Mathematics
Econometrics
Mathematical Methods In Physics
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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

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