Wolfgang Paul, Jörg Baschnagel

Gebundenes Buch

Stochastic Processes

From Physics to Finance

Beschreibung

This book presents an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods, and are taken mainly from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.

Produktdetails

• Verlag: Springer, Berlin
• 2000.
• Seitenzahl: 232
• Erscheinungstermin: 24. April 2001
• Englisch
• Abmessung: 245mm
• Gewicht: 440g
• ISBN-13: 9783540665601
• ISBN-10: 3540665609
• Artikelnr.: 08564408

Rezensionen

From the reviews: BULLETIN OF MATHEMATICS BOOKS "While this book is oriented toward students of physics, it could well be appreciated by a wider mathematical audience...The text offers a rare opportunity to have a unified and modern treatment of stochastic processes in physics and finance."

From the book reviews:

"The authors, both physicists, have revised their successful book first published in 2000. ... the stochastic processes are presented clearly in mathematical language, e.g., with measure theoretical formalism, which makes the book readable for mathematicians. Its value for mathematicians, especially those who are already familiar with the basic ideas of mathematical finance, is in the many examples from physics, that provide a broad overview of the basic models and ideas of statistical physics." (Peter E. Kloeden, SIAM Review, Vol. 56 (4), December, 2014)