Stochastic processes. From physics to finance
This book provides an introduction into the theory of stochastic processes with applications from physics and finance. It is useful to graduate students with a background in physics or chemistry who are interested in applying methods and techniques taken from physics to model and understand the dynamics of financial markets. Chapter 1 gives a short overview of the history of probability theory and stochastic processes and discusses the properties of the random walk in one dimension. Chapter 2 provides the mathematical background (central limit theorem, martingales, Markov processes, Fokker-Planck equations, Itô stochastic calculus) needed later on in the book. The necessary mathematical theorems are presented but not proved. In Chapter 3 several classical applications of the theory of stochastic processes like random walks on a \(d\)-dimensional lattice, ``Kramer's problem or the mean field approximation of the Ising model, are presented. The last section presents Nelson's derivation of quantum mechanics. Chapter 4 introduces into the theory of stable distributions and Lévy processes. In Section 4.4 the authors discuss the truncated Lévy distribution which has been proposed by \textit{R. N. Mantegna} and \textit{H. E. Stanley} [in: Lévy flights and related topics in physics. Lect. Notes Phys. 450, 300-312 (1995; Zbl 0831.60105)] as description of financial price fluctuations. Chapter 5 deals with the modeling of financial markets. In Section 5.2, the classical Black-Scholes option pricing formula is derived. Section 5.3 reviews empirical laws of asset price variations. Section 5.4 discusses the concept of self-organized criticality and the model of Johansen and Sornette (1998, 1999) which is particularly suitable for describing stock market crashes. At the end of each chapter, the authors have added references to the pertinent literature.
- Stochastic processes. From physics to finance
- Random processes in physics and finance
- Random Processes in Physics and Finance
- Stochastic processes with applications to finance
- scientific article; zbMATH DE number 1955484
- Stochastic Processes in Science, Engineering and Finance
- Stochastic processes and financial mathematics
- Stochastic processes. From applications to theory
- Theory of stochastic processes. With applications to financial mathematics and risk theory
- Stochastic Calculus and Differential Equations for Physics and Finance
- Nonequilibrium thermodynamics versus model grain growth: derivation and some physical implications
- A path integral way to option pricing
- Application of computational statistical physics to scale invariance and universality in economic phenomena
- The role of information in a two-traders market
- Stock market context of the Lévy walks with varying velocity
- A note on estimating drift and diffusion parameters from time series
- Statistical physics and economic fluctuations: do outliers exist?
- A multi agent model for the limit order book dynamics
- Black swans, extreme risks, and the e-pile model of self-organized criticality
- Stochastic exponential growth and lattice gases. Statistical mechanics of stochastic growth processes
- Coherence resonance in models of an excitable neuron with noise in both the fast and slow dynamics
- Riemann and Weierstrass walks revisited
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- Links between fluid mechanics and quantum mechanics: a model for information in economics?
- Comparison of Markov chain and stochastic differential equation population models under higher-order moment closure approximations
- scientific article; zbMATH DE number 2131241 (Why is no real title available?)
- The phase diagram of Lévy spin glasses
- Rare events in stochastic populations under bursty reproduction
- EXACT SOLUTIONS AND MONTE CARLO SIMULATIONS OF SELF-CONSISTENT LANGEVIN EQUATIONS: A CASE STUDY FOR THE COLLECTIVE DYNAMICS OF STOCK PRICES
- FRACTIONAL MARKET MODEL AND ITS VERIFICATION ON THE WARSAW STOCK EXCHANGE
- The phase diagram of a directed polymer in random media with \(p\)-spin ferromagnetic interactions
- Stochastic simulations of time series within Weierstrass-Mandelbrot walks
- Dynamics of Markets
- Stochastic processes. From physics to finance
- Glauber dynamics for Ising model on convergent dense graph sequences
- Persistence length convergence and universality for the self-avoiding random walk
- STOCHASTIC PROCESSES WITH APPLICATIONS IN PHYSICS AND INSURANCE
- Dynamic bifurcations on financial markets
- Theory of Financial Risk and Derivative Pricing
- ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE
- ACTIVE WALKS: THE FIRST TWELVE YEARS (PART II)
- scientific article; zbMATH DE number 2225916 (Why is no real title available?)
- Random Processes in Physics and Finance
- Quantifying economic fluctuations
- The Markowitz's mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods
- Higher-order phase transitions on financial markets
- Stretched-exponential decay functions from a self-consistent model of dielectric relaxation
- Portfolio theory of optimal isometric force production: variability predictions and nonequilibrium fluctuation-dissipation theorem
- Meta-state-space learning: an identification approach for stochastic dynamical systems
- About Markov, Gibbs, \dots gauge theory \dots finance
- Geometric Brownian motion with random observation time as generalization of the double Pareto distribution
- Higher-order analysis within Weierstrass hierarchical walks
- Graph theoretic derivation of mutual linearity for transient probabilities and hitting time distributions in Markov networks
- Potential functions and the characterization of economics-based information
- Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
- Stochastic methods. A handbook for the natural and social sciences
- Multi-scale correlations in different futures markets
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