000			03131nam a22005175i 4500
001			978-3-319-00327-6
003			DE-He213
005			20140220082838.0
007			cr nn 008mamaa
008			130710s2013 gw | s |||| 0|eng d
020			_a9783319003276 _9978-3-319-00327-6
024	7		_a10.1007/978-3-319-00327-6 _2doi
050		4	_aQC1-999
072		7	_aJHBC _2bicssc
072		7	_aPSAF _2bicssc
072		7	_aSCI064000 _2bisacsh
082	0	4	_a621 _223
100	1		_aPaul, Wolfgang. _eauthor.
245	1	0	_aStochastic Processes _h[electronic resource] : _bFrom Physics to Finance / _cby Wolfgang Paul, Jörg Baschnagel.
250			_a2nd ed. 2013.
264		1	_aHeidelberg : _bSpringer International Publishing : _bImprint: Springer, _c2013.
300			_aXIII, 280 p. 43 illus. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
505	0		_aA First Glimpse of Stochastic Processes -- A Brief Survey of the Mathematics of Probability Theory -- Diffusion Processes -- Beyond the Central Limit Theorem: Lévy Distributions -- Modeling the Financial Market -- Stable Distributions Revisited -- Hyperspherical Polar Coordinates -- The Weierstrass Random Walk Revisited -- The Exponentially Truncated Lévy Flight -- Put–Call Parity -- Geometric Brownian Motion.
520			_aThis 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.
650		0	_aPhysics.
650		0	_aFinance.
650		0	_aMathematical physics.
650		0	_aEconomics, Mathematical.
650	1	4	_aPhysics.
650	2	4	_aSocio- and Econophysics, Population and Evolutionary Models.
650	2	4	_aQuantitative Finance.
650	2	4	_aGame Theory/Mathematical Methods.
650	2	4	_aMathematical Methods in Physics.
650	2	4	_aMathematical Applications in the Physical Sciences.
700	1		_aBaschnagel, Jörg. _eauthor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783319003269
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-319-00327-6
912			_aZDB-2-PHA
999			_c96397 _d96397