the statistical mechanics of financial markets

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The Statistical Mechanics Of Financial Markets

Author : Johannes Voit
ISBN : 9783662044230
Genre : Science
File Size : 26. 74 MB
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A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.

Einf Hrung In Die Statistik Der Finanzm Rkte

Author : Jürgen Franke
ISBN : 9783642170492
Genre : Business & Economics
File Size : 63. 32 MB
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Ma Und Integral

Author : Martin Brokate
ISBN : 9783034606462
Genre : Mathematics
File Size : 79. 22 MB
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Der Integralbegriff in seiner Ausprägung durch Henri Lebesgue ist ein grundlegendes Werkzeug in der modernen Analysis, Numerik und Stochastik. Für Lehrveranstaltungen zu diesen Gebieten der Mathematik bereiten die Autoren wesentliche Sachverhalte in kompakter Weise auf. Das Buch liefert Orientierung und Material für verschiedene Varianten zwei- oder vierstündiger Lehrveranstaltungen. In einem ergänzenden Abschnitt werden um den Begriff der Konvexität herum Verbünde zur Funktionalanalysis hergestellt.

Outlines And Highlights For The Statistical Mechanics Of Financial Markets By Johannes Voit

Author : Cram101 Textbook Reviews
ISBN : 161830285X
Genre : Education
File Size : 26. 61 MB
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Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9783642065781 .

Author : J. Voit
ISBN : 7510027330
Genre :
File Size : 83. 56 MB
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Theory Of Financial Risk And Derivative Pricing

Author : Jean-Philippe Bouchaud
ISBN : 9781139440271
Genre : Business & Economics
File Size : 62. 12 MB
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Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Scaling Limits In Statistical Mechanics And Microstructures In Continuum Mechanics

Author : Errico Presutti
ISBN : 9783540733058
Genre : Mathematics
File Size : 69. 42 MB
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Collective behavior in systems with many components, blow-ups with emergence of microstructures are proofs of the double, continuum and atomistic, nature of macroscopic systems, an issue which has always intrigued scientists and philosophers. Modern technologies have made the question more actual and concrete with recent, remarkable progresses also from a mathematical point of view. The book focuses on the links connecting statistical and continuum mechanics and, starting from elementary introductions to both theories, it leads to actual research themes. Mathematical techniques and methods from probability, calculus of variations and PDE are discussed at length.

Introduction To Nonextensive Statistical Mechanics

Author : Constantino Tsallis
ISBN : 9780387853581
Genre : Science
File Size : 37. 12 MB
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Metaphors, generalizations and unifications are natural and desirable ingredients of the evolution of scientific theories and concepts. Physics, in particular, obviously walks along these paths since its very beginning. This book focuses on nonextensive statistical mechanics, a current generalization of Boltzmann-Gibbs (BG) statistical mechanics, one of the greatest monuments of contemporary physics. Conceived more than 130 years ago by Maxwell, Boltzmann and Gibbs, the BG theory exhibits uncountable – some of them impressive – successes in physics, chemistry, mathematics, and computational sciences, to name a few. Presently, more than two thousand publications, by over 1800 scientists around the world, have been dedicated to the nonextensive generalization. Remarkable applications have emerged, and its mathematical grounding is by now relatively well established. A pedagogical introduction to its concepts – nonlinear dynamics, extensivity of the nonadditive entropy, global correlations, generalization of the standard CLT’s, among others – is presented in this book as well as a selection of paradigmatic applications in various sciences together with diversified experimental verifications of some of its predictions. This is the first pedagogical book on the subject, written by the proponent of the theory Presents many applications to interdisciplinary complex phenomena in virtually all sciences, ranging from physics to medicine, from economics to biology, through signal and image processing and others Offers a detailed derivation of results, illustrations and for the first time detailed presentation of Nonextensive Statistical Mechanics

Econophysics

Author : Gheorghe Săvoiu
ISBN : 9780124046269
Genre : Business & Economics
File Size : 84. 55 MB
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The remarkable evolution of econophysics research has brought the deep synthesis of ideas derived from economics and physics to subjects as diverse as education, banking, finance, and the administration of large institutions. The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists. Included are studies on subjects in the development of econophysics; on the perspectives offered by econophysics on large problems in economics and finance, including the 2008-9 financial crisis; and on higher education and group decision making. The introductions and insights they provide will benefit everyone interested in applications of this new transdisciplinary science. Ten papers present an updated version of the origins, issues, and applications of econophysics Economics and finance chapters consider lessons learned from the 2008-9 financial crisis Sociophysics chapters propose new thinking on educational reforms and group decision making

Optionen Futures Und Andere Derivate Das Bungsbuch

Author : John Hull
ISBN : 3868940049
Genre :
File Size : 73. 39 MB
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