Stochastic Processes (2nd Ed., Softcover reprint of the original 2nd ed. 2013) From Physics to Finance
Auteurs : Paul Wolfgang, Baschnagel Jörg
Contains a careful treatment of Levy processes
Displays classical and modern examples for the application of stochastic processes
Introduces stochastic processes in finance for natural scientists
Presents the physicists view on financial markets
Discusses econophysics of financial crashes
Includes supplementary material: sn.pub/extras
Date de parution : 08-2015
Ouvrage de 280 p.
15.5x23.5 cm
Date de parution : 07-2013
Ouvrage de 280 p.
15.5x23.5 cm
Thème de Stochastic Processes :
Mots-clés :
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; data-driven science; modeling and theory building; quantitative finance