Stochastic processes from physics to finance wolfgang paul, jörg
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Stochastic processes from physics to finance wolfgang paul, jörg
Stochastic processes from physics to finance wolfgang paul, jörg
Wolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg m Physics to FinanceSecond EditionSpringerWolfgang PaulInstitut fill PhysikMartin-Luther-ưniversitãtHalle (Saale). GermanyJorg BaschnagelInstitut Charles Sadron ưniversité de Strasbourg Strasbourg. FranceISBN 978-3-319-00326-9ISBN 978-3-319-00327-6 (eBook)DOI 10.1007/978-3-319-00327-6Springer Heidel Stochastic processes from physics to finance wolfgang paul, jörg berg New York Dordrecht LondonLibrary of Congress Control Number: 2013944566© Springer International Publishing Switzerland 2000. 2013This work is subStochastic processes from physics to finance wolfgang paul, jörg
ject to copyright. All rights arc reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg rmation storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation arc brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpos Stochastic processes from physics to finance wolfgang paul, jörg e of being entered and executed on a computer system, lor exclusive use by the purchaser of the work. Duplication of this publication or parts thereofStochastic processes from physics to finance wolfgang paul, jörg
is permitted only under the provisions of the Copyright I .aw of the Publisher's location, in its current version, and permission for use must alwaysWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg tion under the respective Copyright Law.’Die use of general descriptive names, registered names, trademarks, service marks, etc. in this publication docs not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore Stochastic processes from physics to finance wolfgang paul, jörg free for general use.While the advice and information in this book are believed to be true and accurate al the date of publication. neither the authoStochastic processes from physics to finance wolfgang paul, jörg
rs nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. Die publisher makes no warrantyWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg w.springcr.eom)Preface to the Second EditionThirteen years have passed by since the publication of the first edition of this book. Its favorable reception encouraged US to work on this second edition. We took advantage of this opportunity to update the references and to correct several mistakes whic Stochastic processes from physics to finance wolfgang paul, jörg h (inevitably) occurred in the first edition. Furthermore we added several new sections in Chaps. 2.3 and 5. In Chap. 2 we give an introduction to JayStochastic processes from physics to finance wolfgang paul, jörg
nes' treatment of probability theory as a form of logic employed to judge rational expectations and to his famous maximum entropy principle. AdditionaWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg a (generalized) Langevin equation starting from the deterministic Newtonian description of the dynamics. Furthermore there is now also a section about the first passage lime problem for unbounded diffusion as an example of the power of renewal equation techniques and a discussion of the extreme exc Stochastic processes from physics to finance wolfgang paul, jörg ursions of Brownian motion. Finally we extended the section on Nelson's stochastic mechanics by giving a detailed discussion on the treatment of the tStochastic processes from physics to finance wolfgang paul, jörg
unnel effect. Chapter 5 of the first edition contained a discussion of credit risk, which was based on the commonly accepted understanding at that timWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg dress a problem that has been discussed much in the recent literature, the (possible) non-stationarity of financial lime series and its consequences. Furthermore, we extended the discussion of microscopic modeling approaches by introducing agent based modeling techniques. These models allow to corre Stochastic processes from physics to finance wolfgang paul, jörg late the behavior of the agents—the microscopic ‘degrees of freedom' of the financial market—with the features of the simulated financial time series,Stochastic processes from physics to finance wolfgang paul, jörg
thereby providing insight into possible underlying mechanisms. Finally, we also augmented the discussion about the description of extreme events in fWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Stochastic processes from physics to finance wolfgang paul, jörg Schwiertz for fruitful collaborations on the modeling of financial markets. Without their contribution Chap. 5 would not have its present form.Halle and Strasbourg.41306Wolfgang Paul Jorg Baschnagel Stochastic processes from physics to finance wolfgang paul, jörg Wolfgang Paul • Jorg BaschnagelStochastic ProcessesFrom Physics to Finance2nd EditionÔ SpringerWolfgang Paul • Jorg BaschnagelStochastic ProcessesFromGọi ngay
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