Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Economic schools --- Operational research. Game theory --- Mathematical statistics --- Statistical physics --- Business economics --- Computer science --- neuronale netwerken --- statistiek --- economisch denken --- speltheorie --- econometrie --- fysica

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.

Economic schools --- Operational research. Game theory --- Mathematical statistics --- Statistical physics --- Business economics --- Computer science --- neuronale netwerken --- statistiek --- economisch denken --- speltheorie --- econometrie --- fysica

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

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.

Ergodic theory. Information theory --- Mathematical physics --- wiskunde --- fysica --- informatietheorie

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Algebra --- Differential geometry. Global analysis --- Mathematical physics --- Elementary particles --- Physics --- algebra --- elementaire deeltjes --- differentiaal geometrie --- kwantumleer --- wiskunde --- fysica

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Geometry --- Mathematical analysis --- Mathematical physics --- Physics --- analyse (wiskunde) --- wiskunde --- fysica --- geometrie