Random Processes in Physics and Finance

Physics, Random, Finance, Processes

Random Processes in Physics and Finance (Oxford Finance Series) (Hardcover)by Melvin Lax (Author), Wei Cai (Author), Min Xu (Author)

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Editorial ReviewsReview

"One challenge in adequately preparing physics students to contribute to economics has been the absence of a comprehensive and rigorous monograph that presents the physical laws governing random processes...Random Processes in Physics and Finance, by the late Melvin Lax and completed by coauthors Wei Cai and Min Xu, rises admirably to the challenge."--Physics Today

Product Description
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.

Product Details
Hardcover: 342 pages
Publisher: Oxford University Press, USA (November 30, 2006)
Language: English
ISBN-10: 0198567766
ISBN-13: 978-0198567769