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Entropy, Volume 3, Issue 5 (December 2001) – 5 articles , Pages 293-324

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Article
Some Divergence Properties of Asset Price Models
by Wolfgang Stummer
Entropy 2001, 3(5), 300-324; https://doi.org/10.3390/e3050300 - 20 Dec 2001
Cited by 1 | Viewed by 5379
Abstract
We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence [...] Read more.
We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence between the law of the solution Xt and the corresponding drift-less measure (the special case α=1 is the relative entropy). This will be applied to some context in statistical information theory as well as to arbitrage theory and contingent claim valuation. For instance, the seminal option pricing theorems of Black-Scholes and Merton appear as a special case. Full article
8 KiB  
Book Review
In Our Own Image: Personal Symmetry in Discovery.
by Shu-Kun Lin
Entropy 2001, 3(5), 298-299; https://doi.org/10.3390/e3050298 - 20 Dec 2001
Cited by 1 | Viewed by 3808
Abstract
I gave lectures entitled "Ugly Symmetry" at several conferences and many institutes during past six years.[...] Full article
28 KiB  
New Book Received
Labyrinth: A Search for The Hidden Meaning of Science.
by Peter Pesic
Entropy 2001, 3(5), 296-297; https://doi.org/10.3390/e3050296 - 20 Dec 2001
Viewed by 4193
Abstract
The URL for the book is http://mitpress.mit.edu/book-home.tcl?isbn=0262161907.[...] Full article
6 KiB  
New Book Received
Statistics in Genetics and in the Environmental Sciences.
by L. T. Fernholz, S. Morgenthaler and W. Stahel
Entropy 2001, 3(5), 295; https://doi.org/10.3390/e3050295 - 20 Dec 2001
Viewed by 4464
Abstract
This book grew out of a workshop on statistics in the sciences held on Monte Verità, Switzerland, in the spring of 1999.[...] Full article
23 KiB  
New Book Received
Shape and Structure, from Engineering to Nature
by Shu-Kun Lin
Entropy 2001, 3(5), 293-294; https://doi.org/10.3390/e3050293 - 20 Dec 2001
Cited by 13 | Viewed by 5888
Abstract
Seemingly universal geometric forms unite the flow systems of engineering and nature.[...] Full article
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