The Statistical Mechanics of Financial Markets (2001) (Theoretical and Mathematical Physics)
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- Synopsis
- 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.
- Copyright:
- 2001
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783662044230
- Related ISBNs:
- 9783540414094
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 07/12/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Science, Business and Finance, Earth Sciences, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
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