MARC Record from harvard_bibliographic_metadata

LEADER: 02957nam a22004935a 4500
001 013744379-X
005 20130920190950.0
008 130710s2013 gw | s ||0| 0|eng d
020 $a9783319003276
020 $a9783319003276
020 $a9783319003269
024 7 $a10.1007/978-3-319-00327-6$2doi
035 $a(Springer)9783319003276
040 $aSpringer
050 4 $aQC1-999
072 7 $aJHBC$2bicssc
072 7 $aPSAF$2bicssc
072 7 $aSCI064000$2bisacsh
082 04 $a621$223
100 1 $aPaul, Wolfgang,$eauthor.
245 10 $aStochastic Processes :$bFrom Physics to Finance /$cby Wolfgang Paul, Jörg Baschnagel.
250 $a2nd ed. 2013.
264 1 $aHeidelberg :$bSpringer International Publishing :$bImprint: Springer,$c2013.
300 $aXIII, 280 p. 43 illus.$bonline resource.
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
347 $atext file$bPDF$2rda
505 0 $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.
520 $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.
650 10 $aPhysics.
650 0 $aPhysics.
650 0 $aFinance.
650 0 $aMathematical physics.
650 0 $aEconomics, Mathematical.
650 24 $aSocio- and Econophysics, Population and Evolutionary Models.
650 24 $aQuantitative Finance.
650 24 $aGame Theory/Mathematical Methods.
650 24 $aMathematical Methods in Physics.
650 24 $aMathematical Applications in the Physical Sciences.
700 1 $aBaschnagel, Jörg,$eauthor.
776 08 $iPrinted edition:$z9783319003269
988 $a20130802
906 $0VEN