Stochastic Processes
Springer International Publishing (Verlag)
978-3-319-03378-5 (ISBN)
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.
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)
Erscheinungsdatum | 30.08.2016 |
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Zusatzinfo | XIII, 280 p. 43 illus. |
Verlagsort | Cham |
Sprache | englisch |
Maße | 155 x 235 mm |
Gewicht | 456 g |
Themenwelt | Mathematik / Informatik ► Informatik ► Theorie / Studium |
Naturwissenschaften ► Physik / Astronomie ► Theoretische Physik | |
Sozialwissenschaften ► Soziologie ► Empirische Sozialforschung | |
Schlagworte | Brownian motion • Data-driven Science, Modeling and Theory Building • Econophysics of Financial Crashes • Exponentially Truncated Lévy Flight • Game Theory/Mathematical Methods • Levy Distributions • Mathematical Applications in the Physical Sciences • Mathematical methods in physics • Modeling the Financial Market • Physics and Astronomy • Put-call parity • Put–Call Parity • Quantitative Finance • Socio- and Econophysics, Population and Evolutiona • stochastic mechanics • Stochastic Processes • Weierstrass Random Walk |
ISBN-10 | 3-319-03378-6 / 3319033786 |
ISBN-13 | 978-3-319-03378-5 / 9783319033785 |
Zustand | Neuware |
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