The book is an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory...
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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.
Sommaire
A First Glimpse of Stochastic Processes
A Brief Survey of the Mathematics of Probability Theory
Diffusion Processes
Beyond the Central Limit Theorem: Lévy Distributions