Random Processes In Physics And Finance
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Random Processes In Physics And Finance
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Author : Melvin Lax
language : en
Publisher: OUP Oxford
Release Date : 2006-10-05
Random Processes In Physics And Finance written by Melvin Lax and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-05 with Science categories.
This text is aimed at professionals and students working on random processes in various areas, including physics and finance. The first author, Melvin Lax (1922-2002), was a distinguished Professor of Physics at City College of New York and a member of the U. S. National Academy of Sciences, widely known for his contribution on random processes in physics. Most chapters of this book are the outcome of the class notes which Lax taught at the City University of New York from 1985 to 2001. The material is unique as it presents the theoretical framework of Lax's treatment of random processes, starting from basic probability theory, to Fokker-Planck and Langevin Processes, and includes diverse applications, such as explanation of very narrow laser width and analytical solution of the elastic Boltzmann transport equation. Lax's critical viewpoint on mathematics currently used in the financial world is also presented in this book.
Stochastic Processes
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Author : Wolfgang Paul
language : en
Publisher: Springer Science & Business Media
Release Date : 1999
Stochastic Processes written by Wolfgang Paul and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
The book is 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 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.
Stochastic Processes
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Author : Wolfgang Paul
language : en
Publisher: Springer
Release Date : 2013-07-26
Stochastic Processes written by Wolfgang Paul and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-26 with Science categories.
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.
Stochastic Processes In Finance
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Author : Marakani Srikant
language : en
Publisher:
Release Date : 2003
Stochastic Processes In Finance written by Marakani Srikant and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
An Introduction To Continuous Time Stochastic Processes
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Author : Vincenzo Capasso
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-01-03
An Introduction To Continuous Time Stochastic Processes written by Vincenzo Capasso and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-03 with Mathematics categories.
This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.
Introduction To Econophysics
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Author : Rosario N. Mantegna
language : en
Publisher: Cambridge University Press
Release Date : 1999-11-13
Introduction To Econophysics written by Rosario N. Mantegna and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-11-13 with Business & Economics categories.
This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Probability And Stochastic Processes For Physicists
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Author : Nicola Cufaro Petroni
language : en
Publisher: Springer Nature
Release Date : 2020-06-25
Probability And Stochastic Processes For Physicists written by Nicola Cufaro Petroni and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-25 with Science categories.
This book seeks to bridge the gap between the parlance, the models, and even the notations used by physicists and those used by mathematicians when it comes to the topic of probability and stochastic processes. The opening four chapters elucidate the basic concepts of probability, including probability spaces and measures, random variables, and limit theorems. Here, the focus is mainly on models and ideas rather than the mathematical tools. The discussion of limit theorems serves as a gateway to extensive coverage of the theory of stochastic processes, including, for example, stationarity and ergodicity, Poisson and Wiener processes and their trajectories, other Markov processes, jump-diffusion processes, stochastic calculus, and stochastic differential equations. All these conceptual tools then converge in a dynamical theory of Brownian motion that compares the Einstein–Smoluchowski and Ornstein–Uhlenbeck approaches, highlighting the most important ideas that finally led to a connection between the Schrödinger equation and diffusion processes along the lines of Nelson’s stochastic mechanics. A series of appendices cover particular details and calculations, and offer concise treatments of particular thought-provoking topics.
Stochastic Processes For Finance
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Author :
language : en
Publisher: Bookboon
Release Date :
Stochastic Processes For Finance written by and has been published by Bookboon this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
The Statistical Mechanics Of Financial Markets
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Author : Johannes Voit
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
The Statistical Mechanics Of Financial Markets written by Johannes Voit and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Mathematics categories.
This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott
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Author : Samuel N Cohen
language : en
Publisher: World Scientific
Release Date : 2012-08-10
Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-10 with Mathematics categories.
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
