Price Dynamics from First Principles (Hardcover)
Language: English
Published by Eudaimonia, 2026
- Hardcover
- New
Seller: Grand Eagle Retail, Bensenville, IL, U.S.A.Grand Eagle Retail
AbeBooks seller since October 12, 2005
Condition: New
£ 80.91
Quantity: 1 available
Add to basketItem description from seller
Hardcover. Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK- The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor- Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020- Geometric Brownian motion - the log-normal world and exactly where it lies to you- Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples- Jump diffusion and Levy processes - what a crash is, mathematically- Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile- GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners. Across the two volumes: 19 chapters, 8 mathematical appendices, 156 figures, and 688 exercises with full worked solutions to nearly all of them, and one hundred conceptual questions per chapter. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…
Seller Inventory # 9789334516258
- Title
- Price Dynamics from First Principles (Hardcover)
- Author
- Sridhar P.L.
- Publisher
- Eudaimonia
- Publication year
- 2026
- Condition
- new
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 9334516259
- ISBN 13
- 9789334516258
- Series
- Book 1 of 2: Price Dynamics from First Principles
Most books on price dynamics assume you already know the mathematics. This one teaches it.
This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black–Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, self-exciting processes, machine learning, generative models, and neural stochastic differential equations. Nothing essential is asserted, quoted, or waved through. Where a result is needed, it is derived in front of you, line by line.
WHAT YOU NEED TO START
High-school algebra, calculus, probability, logarithms, and vectors. That is the whole prerequisite. Stochastic calculus, Itô's lemma, martingales, characteristic functions, Fourier transforms, and the mathematics of time series are built from scratch in the appendices, at the point where the argument first needs them.
THE MODELS COVERED IN THIS BOOK
• The random walk — ruin, the arcsine law, and why square-root scaling is not a metaphor
• Arithmetic Brownian motion — Bachelier's forgotten thesis, and the negative prices of April 2020
• Geometric Brownian motion — the log-normal world and exactly where it lies to you
• Mean-reverting models — Ornstein–Uhlenbeck, and the trap of estimating a half-life from short samples
• Jump diffusion and Lévy processes — what a crash is, mathematically
• Stochastic, local, and stochastic-local volatility — Heston, Dupire, and the smile
• GARCH — volatility clustering, and why yesterday still matters
EVERY CHAPTER FOLLOWS THE SAME DISCIPLINED PROGRESSION
Historical motivation; intuition explained without equations; mathematics built one assumption at a time; geometric, physical, and economic interpretations of every parameter; worked examples; model diagnostics and failure modes; comparisons with earlier models; complete Python implementations; and exercises.
THE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.
Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another. That gap is what this book was written to close.
VERIFIED, NOT ASSUMED.
Every figure is generated by a seeded Python script whose seed is printed in the caption. Every numerical claim was computed, not recalled. Where the computation contradicted the plan, the computation won and the disagreement became part of the text.
ACROSS THE COMPLETE TWO-VOLUME WORK
19 chapters, 8 mathematical appendices, 156 figures, and 688 exercises spanning easy, medium, hard, research-level, programming, conceptual, interview, and challenge tiers — with full worked solutions to nearly all of them, and one hundred conceptual questions per chapter.
FOR
Self-taught quants, graduate students entering mathematical finance, practitioners who calibrate models they were never shown the inside of, and anyone who would rather understand than remember.
Volume I develops price dynamics from random walks through diffusion, jumps, mean reversion, stochastic and local volatility, and GARCH. Volume II continues with regime switching, fractional Brownian motion, rough volatility, agent-based markets, Hawkes processes, machine learning, deep generative models, neural SDEs, and modelling hygiene.
"Synopsis" may belong to another edition of this title.
Grand Eagle Retail
Bensenville, IL, U.S.A.
AbeBooks seller since October 12, 2005
Shipping rates within U.S.A.
| Item | 6 to 14 business days | 6 to 16 business days |
|---|---|---|
| First item | £ 0.00 | £ 0.00 |
Payment methods
Seller's business information
APOLLO ONLINE CORP.
605 Geddes Street
Wilmington, DE U.S.A. 19805
Terms of sale
We guarantee the condition of every book as it¿s described on the Abebooks web sites. If you¿ve changed
your mind about a book that you¿ve ordered, please use the Ask bookseller a question link to contact us
and we¿ll respond within 2 business days.
Books ship from California and Michigan.
Right of withdrawal
If you are a consumer you can withdraw from the contract in accordance with the following. Consumer means any natural person who is acting for purposes which are outside his trade, business, craft or profession.
Information regarding the right of withdrawal
Statutory right to withdraw
You have the right to withdraw from this contract within 14 days without giving any reason.
The withdrawal period will expire after 14 days from the day on which you acquire, or a third party other than the carrier and indicated by you acquires, physical possession of the last good or the last lot or piece.
To exercise the right of withdrawal, electronically fill in and submit a clear statement on our website, under "My Purchases" in "My Account". We will communicate to you an acknowledgement of receipt of such a withdrawal on a durable medium (e.g. by e-mail) without delay.
To meet the withdrawal deadline, it is sufficient for you to send your communication concerning your exercise of the right of withdrawal before the withdrawal period has expired.
Effects of withdrawal
If you withdraw from this contract, we will reimburse to you all payments received from you, including the costs of delivery (except for the supplementary costs arising if you chose a type of delivery other than the least expensive type of standard delivery offered by us).
We may make a deduction from the reimbursement for loss in value of any goods supplied, if the loss is the result of unnecessary handling by you.
We will make the reimbursement without undue delay, and not later than 14 days after the day on which we are informed about your decision to withdraw from this contract.
We will make the reimbursement using the same means of payment as you used for the initial transaction, unless you have expressly agreed otherwise; in any event, you will not incur any fees as a result of such reimbursement.
We may withhold reimbursement until we have received the goods back, or you have supplied evidence of having sent back the goods, whichever is the earliest.
You shall send back the goods or hand them over to Grand Eagle Retail, Bensenville, Illinois, U.S.A., without undue delay and in any event not later than 14 days from the day on which you communicate your withdrawal from this contract to us. The deadline is met if you send back the goods before the period of 14 days has expired. You will have to bear the direct cost of returning the goods. You are only liable for any diminished value of the goods resulting from the handling other than what is necessary to establish the nature, characteristics and functioning of the goods.
Exceptions to the right of withdrawal
The right of withdrawal does not apply to:
- The delivery of newspapers, journals or magazines with the exception of subscription contracts; and
- The supply of digital content which is not supplied on a tangible medium (e.g. on a CD or DVD) if you accepted when you placed your order that we could start to deliver it, and that you could not withdraw once delivery had started.
Shipping terms
Orders usually ship within 2 business days. All books within the US ship free of charge. Delivery is 4-14 business days anywhere in the United States.
Books ship from California and Michigan.
If your book order is heavy or oversized, we may contact you to let you know extra shipping is required.