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Readership: Graduate Students and professionals in condensed matter physics, in particular complex systems and their applications to finance.
Melvin Lax, Department of Physics, City University of New York, Wei Cai, Department of Physics, City University of New York, and Min Xu, Department of Physics, City University of New York
"But aside from its teaching qualities the book is a pleasure to read even for the expert. I warmly recommend this book for both, the beginner and the professional. Journal of Statistical Physics (2008) 130:821"
"'Other departures from traditional mathematical finance texts make Lax's book a refreshing and much clearer read...One hope that this text will inspire other physics students to continue Lax's legacy and contribute to this growing, diverse field.' Physics Today, January 2008."
"Random Processes in Physics and Finance is a great book on classical aspects of random processes in physics." - Rosario Nunzio Mantegna, Nature Physics, Vol 3
1: Review of Probability
2: What is a Random Process
3: Examples of Markovian Processes
4: Spectral Measurement and Correlation
5: Thermal Noise
6: Shot Noise
7: The Fluctuation-Dissipation Theorem
8: Generalized Fokker-Planck Equation of Markov Process
9: Langevin Process
10: Langevin Treatment of the Fokker-Planck Process
11: The Rotating Wave Van Del Pol Oscillator (RWVP)
12: Noise in Homogeneous Semiconductors
13: Random Walk of Light in Turbid Media
14: Analytical Solution of the Elastic Boltzmann Transport Equation
15: Signal Extraction in the Presence of Smoothing and Noise
16: Stochastic Methods to Investment Decision
17: Spectral Analysis of Economic Time Series