Stochastic calculus and differential equations for physics and finance (Record no. 92919)
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| 000 -LEADER | |
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| fixed length control field | 03182nam a2200421 a 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC1139554 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240120134618.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 120731s2012 enk sb 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| Canceled/invalid LC control number | 2012030955 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9780521763400 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781107332911 (electronic bk.) |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC1139554 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL1139554 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaPaEBR)ebr10659339 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaONFJC)MIL456992 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)829459852 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QC20.7.S8 |
| Item number | M39 2012 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.2 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | McCauley, Joseph L. |
| 245 10 - TITLE STATEMENT | |
| Title | Stochastic calculus and differential equations for physics and finance |
| Medium | [electronic resource] / |
| Statement of responsibility, etc. | Joseph L. McCauley. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Cambridge ; |
| -- | New York : |
| Name of publisher, distributor, etc. | Cambridge University Press, |
| Date of publication, distribution, etc. | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xi, 206 p. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references and index. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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 ## - SUMMARY, ETC. | |
| Summary, etc. | "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. |
| 533 ## - REPRODUCTION NOTE | |
| Type of reproduction | Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Stochastic processes. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Differential equations. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Statistical physics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance |
| General subdivision | Mathematical models. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/bacm-ebooks/detail.action?docID=1139554">https://ebookcentral.proquest.com/lib/bacm-ebooks/detail.action?docID=1139554</a> |
| Public note | Click to View |
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