Stochastic Processes From Physics to Finance /

• Main Authors: Paul, Wolfgang. (Author), Baschnagel, Jr̲g. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Heidelberg : Springer International Publishing : Imprint: Springer, 2013.
• Edition: 2nd ed. 2013.
• Subjects: Physics.; Finance.; Mathematical physics.; Economics, Mathematical.; Socio- and Econophysics, Population and Evolutionary Models.; Quantitative Finance.; Game Theory/Mathematical Methods.; Mathematical Methods in Physics.; Mathematical Applications in the Physical Sciences.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-319-00327-6

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...

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: Lv̌y Distributions
• Modeling the Financial Market
• Stable Distributions Revisited
• Hyperspherical Polar Coordinates
• The Weierstrass Random Walk Revisited
• The Exponentially Truncated Lv̌y Flight
• Put<U+0013>Call Parity
• Geometric Brownian Motion.