Articlehybrid2004

A guided walk down Wall Street: an introduction to econophysics

47 citations0/0 files storedBrazilian Journal of Physics

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Stochastic processes and financial applications Complex Systems and Time Series Analysis Statistical Mechanics and Entropy

Abstract

This article contains the lecture notes for the short course "Introduction to Econophysics," delivered at the II Brazilian School on Statistical Mechanics, held in São Carlos, Brazil, in February 2004. The main goal of the present notes is twofold: i) to provide a brief introduction to the problem of pricing financial derivatives in continuous time; and ii) to review some of the related problems to which physicists have made relevant contributions in recent years.

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References

1987Stochastic Differential Equations: An Introduction with Applications.2003Options, Futures and Other Derivatives 2003Stochastic Differential Equations 1988Theory of Financial Decision Making.1999Introduction to Econophysics 1998Arbitrage Theory in Continuous Time 1995The Mathematics of Financial Derivatives 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

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2014Cumulative Advantage: Conductors and Insulators of Heavy‐Tailed Productivity Distributions and Productivity Stars 2013The Emergence of Econophysics: A New Approach in Modern Financial Theory

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