Details

Random Processes in Physics and Finance


Random Processes in Physics and Finance


Oxford Finance Series

von: Melvin Lax

CHF 75.02

Verlag: OUP Oxford
Format: PDF
Veröffentl.: 05.10.2006
ISBN/EAN: 9780191513787
Sprache: englisch
Anzahl Seiten: 344

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Beschreibungen

This text is aimed at professionals and students working on random processes in various areas, including physics and finance. The first author, Melvin Lax (1922-2002), was a distinguished Professor of Physics at City College of New York and a member of the U. S. National Academy of Sciences, widely known for his contribution on random processes in physics. Most chapters of this book are the outcome of the class notes which Lax taught at the City University of NewYork from 1985 to 2001. The material is unique as it presents the theoretical framework of Lax's treatment of random processes, starting from basic probability theory, to Fokker-Planck and Langevin Processes, and includes diverse applications, such as explanation of very narrow laser width andanalytical solution of the elastic Boltzmann transport equation. Lax's critical viewpoint on mathematics currently used in the financial world is also presented in this book.

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