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Random Processes in Physics and Finance
Melvin Lax, Wei Cai, and Min Xu
344 pages
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30 line drawings
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240x168mm
978-0-19-856776-9
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Hardback
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05 October 2006
Price:
£69.99 £34.99
Please note, this offer price only applies to individual customers when ordering direct from Oxford University Press, while stock lasts. No further discounts will apply. If you are a bookseller, please contact your OUP sales representative.
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- A unique account from a physicist widely known for his contributions to random processes.
- Presents a critical viewpoint of mathematics currently used in the financial world.
- Tutorial style, based on many years of teaching.
This respected high-level text is aimed at students and professionals 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, and is widely known for his contributions to our understanding of random processes in physics. Most chapters of this book are outcomes of the class notes which Lax taught at the City University of New York from 1985 to 2001. The material is unique as it presents the theoretical framework of Lax's treatment of random processes, from basic probability theory to
Fokker-Planck and Langevin Processes, and includes diverse applications, such as explanations of very narrow laser width, analytical solutions of the elastic Boltzmann transport equation, and a critical viewpoint of mathematics currently used in the world of finance. Readership: Graduate Students and professionals in condensed matter physics, in particular complex systems and their applications to finance.
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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
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"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
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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
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The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.
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