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010   $a3-319-00327-5
024 7 $a10.1007/978-3-319-00327-6
035   $a(CKB)3710000000002556
035   $a(EBL)1398561
035   $a(OCoLC)902405402
035   $a(SSID)ssj0000963162
035   $a(PQKBManifestationID)11532902
035   $a(PQKBTitleCode)TC0000963162
035   $a(PQKBWorkID)10981049
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035   $a(DE-He213)978-3-319-00327-6
035   $a(MiAaPQ)EBC1398561
035   $a(PPN)172422213
035   $a(EXLCZ)993710000000002556
100   $a20130710d2013      u|             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aStochastic Processes$b[electronic resource] $eFrom Physics to Finance /$fby Wolfgang Paul, Jörg Baschnagel
205   $a2nd ed. 2013.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2013.
215   $a1 online resource (287 p.)
300   $aDescription based upon print version of record.
311   $a3-319-03378-6 
311   $a3-319-00326-7 
320   $aIncludes bibliographical references and index.
327   $aA 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.
330   $aThis 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.
606   $aSociophysics
606   $aEconophysics
606   $aEconomics, Mathematical 
606   $aEconomic theory
606   $aPhysics
606   $aMathematical physics
606   $aData-driven Science, Modeling and Theory Building$3https://scigraph.springernature.com/ontologies/product-market-codes/P33030
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aEconomic Theory/Quantitative Economics/Mathematical Methods$3https://scigraph.springernature.com/ontologies/product-market-codes/W29000
606   $aMathematical Methods in Physics$3https://scigraph.springernature.com/ontologies/product-market-codes/P19013
606   $aMathematical Applications in the Physical Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13120
615  0$aSociophysics.
615  0$aEconophysics.
615  0$aEconomics, Mathematical .
615  0$aEconomic theory.
615  0$aPhysics.
615  0$aMathematical physics.
615 14$aData-driven Science, Modeling and Theory Building.
615 24$aQuantitative Finance.
615 24$aEconomic Theory/Quantitative Economics/Mathematical Methods.
615 24$aMathematical Methods in Physics.
615 24$aMathematical Applications in the Physical Sciences.
676   $a330
676   $a330.0151
676   $a330.1
676   $a519
700   $aPaul$b Wolfgang$4aut$4http://id.loc.gov/vocabulary/relators/aut$0464842
702   $aBaschnagel$b Jörg$4aut$4http://id.loc.gov/vocabulary/relators/aut
906   $aBOOK
912   $a9910741194403321
996   $aStochastic Processes$93552989
997   $aUNINA