Coverart for item
The Resource Stochastic calculus and differential equations for physics and finance, Joseph L. McCauley, Physics Department University of Houston, (electronic resource)

Stochastic calculus and differential equations for physics and finance, Joseph L. McCauley, Physics Department University of Houston, (electronic resource)

Label
Stochastic calculus and differential equations for physics and finance
Title
Stochastic calculus and differential equations for physics and finance
Statement of responsibility
Joseph L. McCauley, Physics Department University of Houston
Title variation
Stochastic Calculus & Differential Equations for Physics & Finance
Creator
Subject
Language
eng
Summary
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.--
Assigning source
Provided by publisher
Cataloging source
UkCbUP
http://library.link/vocab/creatorName
McCauley, Joseph L
Index
index present
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Cambridge Social Sciences eBooks
http://library.link/vocab/subjectName
  • Stochastic processes
  • Differential equations
  • Statistical physics
  • Finance
Label
Stochastic calculus and differential equations for physics and finance, Joseph L. McCauley, Physics Department University of Houston, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9781139019460
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Random variables and probability distributions -- Martingales, Markov, and nonstationarity -- Stochastic calculus -- Ito processes and Fokker-Planck equations -- Selfsimilar Ito processes -- Fractional Brownian motion -- Kolmogorov's PDEs and Chapman-Kolmogorov -- Non Markov Ito processes -- Black-Scholes, martingales, and Feynman-Katz -- Stochastic calculus with martingales -- Statistical physics and finance, a brief history of each -- Introduction to new financial economics -- Statistical ensembles and time series analysis -- Econometrics -- Semimartingales
Control code
CR9781139019460
Dimensions
unknown
Extent
1 online resource (xi, 206 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781139019460
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)829459852
Label
Stochastic calculus and differential equations for physics and finance, Joseph L. McCauley, Physics Department University of Houston, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9781139019460
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Random variables and probability distributions -- Martingales, Markov, and nonstationarity -- Stochastic calculus -- Ito processes and Fokker-Planck equations -- Selfsimilar Ito processes -- Fractional Brownian motion -- Kolmogorov's PDEs and Chapman-Kolmogorov -- Non Markov Ito processes -- Black-Scholes, martingales, and Feynman-Katz -- Stochastic calculus with martingales -- Statistical physics and finance, a brief history of each -- Introduction to new financial economics -- Statistical ensembles and time series analysis -- Econometrics -- Semimartingales
Control code
CR9781139019460
Dimensions
unknown
Extent
1 online resource (xi, 206 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781139019460
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)829459852

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...