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Stochastic Processes

From Physics to Finance

  • Wolfgang Paul
  • Jörg Baschnagel

Table of contents

  1. Front Matter
    Pages I-XIII
  2. Wolfgang Paul, Jörg Baschnagel
    Pages 1-16
  3. Wolfgang Paul, Jörg Baschnagel
    Pages 17-61
  4. Wolfgang Paul, Jörg Baschnagel
    Pages 63-129
  5. Wolfgang Paul, Jörg Baschnagel
    Pages 131-162
  6. Wolfgang Paul, Jörg Baschnagel
    Pages 163-235
  7. Back Matter
    Pages 237-280

About this book

Introduction

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.

Keywords

Brownian Motion Econophysics of Financial Crashes Exponentially Truncated Lévy Flight Levy Distributions Modeling the Financial Market Put–Call Parity Stochastic Mechanics Stochastic Processes Weierstrass Random Walk

Authors and affiliations

  • Wolfgang Paul
    • 1
  • Jörg Baschnagel
    • 2
  1. 1.Halle-WittenbergMartin-Luther-UniversitätHalle (Saale)Germany
  2. 2.Institut Charles SadronUniversité de StrasbourgStrasbourg Cedex 2France

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-00327-6
  • Copyright Information Springer International Publishing Switzerland 2013
  • Publisher Name Springer, Heidelberg
  • eBook Packages Physics and Astronomy
  • Print ISBN 978-3-319-00326-9
  • Online ISBN 978-3-319-00327-6
  • Buy this book on publisher's site