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Price Dynamics from First Principles: Random Walks, Rough Volatility, and Neural SDEs - Volume I
Hardcover
EconomicsInvesting & FinanceProbability & Statistics
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ISBN13: 9789334516258
Publisher: Eudaimonia
Published: Sep 19 2026
Pages: 510
Weight: 2.41
Height: 1.13 Width: 7.00 Depth: 10.00
Language: English
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 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
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.
FOR
Self-taught quants, graduate students entering mathematical finance and industry practitioners.
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P. L., Sridhar
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