Stochastic processes: from physics to finance
Auteur :
Paul, Wolfgang / Baschnagel, Jörg
Éditeur :
Springer International Publishing AG
ISBN :
9783319033785
Date de publication :
6 août 2015
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
This book introduces the theory of stochastic processes with applications taken from physics and finance. 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.