Stochastic calculus and differential equations for physics and finance
(eBook)
Author
Contributors
Published
Cambridge ; New York : Cambridge University Press, 2012.
Physical Desc
xi, 206 pages
Status
More Details
Format
eBook
Language
English
Notes
Bibliography
Includes bibliographical references and index.
Description
"Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics"--,Provided by publisher.
Reproduction
Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
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Citations
APA Citation, 7th Edition (style guide)
McCauley, J. L. (2012). Stochastic calculus and differential equations for physics and finance . Cambridge University Press.
Chicago / Turabian - Author Date Citation, 17th Edition (style guide)McCauley, Joseph L. 2012. Stochastic Calculus and Differential Equations for Physics and Finance. Cambridge University Press.
Chicago / Turabian - Humanities (Notes and Bibliography) Citation, 17th Edition (style guide)McCauley, Joseph L. Stochastic Calculus and Differential Equations for Physics and Finance Cambridge University Press, 2012.
MLA Citation, 9th Edition (style guide)McCauley, Joseph L. Stochastic Calculus and Differential Equations for Physics and Finance Cambridge University Press, 2012.
Note! Citations contain only title, author, edition, publisher, and year published. Citations should be used as a guideline and should be double checked for accuracy. Citation formats are based on standards as of August 2021.
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Grouped Work ID
bb790bf1-fa3f-9749-907b-2df4fa692a5f-eng
Grouping Information
| Grouped Work ID | bb790bf1-fa3f-9749-907b-2df4fa692a5f-eng |
|---|---|
| Full title | stochastic calculus and differential equations for physics and finance |
| Author | mccauley joseph l |
| Grouping Category | book |
| Last Update | 2022-06-07 21:23:19PM |
| Last Indexed | 2024-05-16 05:03:28AM |
Book Cover Information
| Image Source | default |
|---|---|
| First Loaded | Sep 1, 2022 |
| Last Used | May 13, 2024 |
Marc Record
| First Detected | Aug 09, 2021 01:52:18 PM |
|---|---|
| Last File Modification Time | Nov 22, 2021 09:50:09 AM |
MARC Record
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| 100 | 1 | |a McCauley, Joseph L. | |
| 245 | 1 | 0 | |a Stochastic calculus and differential equations for physics and finance|h [eBook] /|c Joseph L. McCauley. |
| 260 | |a Cambridge ;|a New York :|b Cambridge University Press,|c 2012. | ||
| 300 | |a xi, 206 p. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 8 | |a Machine generated contents note: 1. Random variables and probability distributions; 2. Martingales, Markov, and nonstationarity; 3. Stochastic calculus; 4. Ito processes and Fokker-Planck equations; 5. Selfsimilar Ito processes; 6. Fractional Brownian motion; 7. Kolmogorov's PDEs and Chapman-Kolmogorov; 8. Non Markov Ito processes; 9. Black-Scholes, martingales, and Feynman-Katz; 10. Stochastic calculus with martingales; 11. Statistical physics and finance, a brief history of both; 12. Introduction to new financial economics; 13. Statistical ensembles and time series analysis; 14. Econometrics; 15. Semimartingales; References; Index. | |
| 520 | |a "Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics"--|c Provided by publisher. | ||
| 533 | |a Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. | ||
| 650 | 0 | |a Stochastic processes. | |
| 650 | 0 | |a Differential equations. | |
| 650 | 0 | |a Statistical physics. | |
| 650 | 0 | |a Finance|x Mathematical models. | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a ProQuest (Firm) | |
| 856 | 4 | 0 | |u http://ebookcentral.proquest.com/lib/yavapai-ebooks/detail.action?docID=1139554|x Yavapai College|y Yavapai College users click here to access |
| 856 | 4 | 0 | |u http://ebookcentral.proquest.com/lib/prescottcollege-ebooks/detail.action?docID=1139554|x Prescott College|y Prescott College users click here to access |
| 856 | 4 | 0 | |u http://ebookcentral.proquest.com/lib/yln-ebooks/detail.action?docID=1139554|x Yavapai Library Network|y All other users click here to access |
| 945 | |a E-Book | ||
