03095nam 2200613Ia 450 991074119440332120200520144314.03-319-00327-510.1007/978-3-319-00327-6(CKB)3710000000002556(EBL)1398561(OCoLC)902405402(SSID)ssj0000963162(PQKBManifestationID)11532902(PQKBTitleCode)TC0000963162(PQKBWorkID)10981049(PQKB)10803635(DE-He213)978-3-319-00327-6(MiAaPQ)EBC1398561(PPN)172422213(EXLCZ)99371000000000255620130705d2013 uy 0engur|n|---|||||txtccrStochastic processes from physics to finance /Wolfgang Paul, Jorg Baschnagel2nd ed.Heidelberg ;New York Springer20131 online resource (287 p.)Description based upon print version of record.3-319-03378-6 3-319-00326-7 Includes bibliographical references and index.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.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.Stochastic processesProbabilitiesStochastic processes.Probabilities.330330.0151330.1519Paul Wolfgang464842Baschnagel Jorg1965-1753940MiAaPQMiAaPQMiAaPQBOOK9910741194403321Stochastic processes4190013UNINA