Stochastic processes : from Physics to Finance | Perpustakaan Universitas Negeri Jakarta

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Stochastic processes : from Physics to Finance

Paul, Wolfgang - Nama Orang; Baschnagel, Jörg - Nama Orang;

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.
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Perpustakaan Pusat E1642

E1642

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Informasi Detail

Judul Seri: -
No. Panggil: E1642
Penerbit: Switzerland : Springer Cham., 2013
Deskripsi Fisik: xiii, 280 hlm. : il.
Bahasa: English
ISBN/ISSN: 9783319003276
Klasifikasi: NONE
Tipe Isi: text
Tipe Media: computer
Tipe Pembawa: online resource
Edisi: 2nd edition
Subjek: Proses Stokastik
Variabel Acak : Proses Stokastik
Info Detail Spesifik: -
Pernyataan Tanggungjawab: Wolfgang Paul , Jörg Baschnagel

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