| 000 | 03444nam a22005655i 4500 | ||
|---|---|---|---|
| 001 | 978-3-319-00327-6 | ||
| 003 | DE-He213 | ||
| 005 | 20220801140054.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 130710s2013 sz | s |||| 0|eng d | ||
| 020 |
_a9783319003276 _9978-3-319-00327-6 |
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| 024 | 7 |
_a10.1007/978-3-319-00327-6 _2doi |
|
| 050 | 4 | _aQ295 | |
| 072 | 7 |
_aGPFC _2bicssc |
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| 072 | 7 |
_aSCI064000 _2bisacsh |
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| 072 | 7 |
_aGPFC _2thema |
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| 082 | 0 | 4 |
_a530.1 _223 |
| 100 | 1 |
_aPaul, Wolfgang. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut _931862 |
|
| 245 | 1 | 0 |
_aStochastic Processes _h[electronic resource] : _bFrom Physics to Finance / _cby Wolfgang Paul, Jörg Baschnagel. |
| 250 | _a2nd ed. 2013. | ||
| 264 | 1 |
_aCham : _bSpringer International Publishing : _bImprint: Springer, _c2013. |
|
| 300 |
_aXIII, 280 p. _bonline resource. |
||
| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
||
| 338 |
_aonline resource _bcr _2rdacarrier |
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| 347 |
_atext file _bPDF _2rda |
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| 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 | 0 |
_aSystem theory. _93409 |
|
| 650 | 0 |
_aSocial sciences—Mathematics. _931863 |
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| 650 | 0 |
_aEconometrics. _920971 |
|
| 650 | 0 |
_aMathematical physics. _911013 |
|
| 650 | 1 | 4 |
_aComplex Systems. _918136 |
| 650 | 2 | 4 |
_aMathematics in Business, Economics and Finance. _931864 |
| 650 | 2 | 4 |
_aQuantitative Economics. _931722 |
| 650 | 2 | 4 |
_aMathematical Methods in Physics. _931865 |
| 650 | 2 | 4 |
_aMathematical Physics. _911013 |
| 700 | 1 |
_aBaschnagel, Jörg. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut _931866 |
|
| 710 | 2 |
_aSpringerLink (Online service) _931867 |
|
| 773 | 0 | _tSpringer Nature eBook | |
| 776 | 0 | 8 |
_iPrinted edition: _z9783319033785 |
| 776 | 0 | 8 |
_iPrinted edition: _z9783319003283 |
| 776 | 0 | 8 |
_iPrinted edition: _z9783319003269 |
| 856 | 4 | 0 | _uhttps://doi.org/10.1007/978-3-319-00327-6 |
| 912 | _aZDB-2-PHA | ||
| 912 | _aZDB-2-SXP | ||
| 942 | _cEBK | ||
| 999 |
_c75147 _d75147 |
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