Statistical Physics with Applications to Mathematical Finance

This calculus based course is an introduction into modern statistical physics including topics with applications in finance. The main topics are statistical models in equilibrium, phase transitions, mean field approximations, kinetic theory and the approach to equilibrium, as well as Brownian motion, anomalous diffusion, and Levy flights. In the laboratory students will create and run computer simulations using the programming language Python to model and test physical theories discussed in lecture.

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