000			03182nam a2200421 a 4500
001			EBC1139554
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005			20240120134618.0
006			m o d |
007			cr cn|||||||||
008			120731s2012 enk sb 001 0 eng d
010			_z 2012030955
020			_z9780521763400
020			_a9781107332911 (electronic bk.)
035			_a(MiAaPQ)EBC1139554
035			_a(Au-PeEL)EBL1139554
035			_a(CaPaEBR)ebr10659339
035			_a(CaONFJC)MIL456992
035			_a(OCoLC)829459852
040			_aMiAaPQ _cMiAaPQ _dMiAaPQ
050		4	_aQC20.7.S8 _bM39 2012
082	0	4	_a519.2 _223
100	1		_aMcCauley, Joseph L.
245	1	0	_aStochastic calculus and differential equations for physics and finance _h[electronic resource] / _cJoseph L. McCauley.
260			_aCambridge ; _aNew York : _bCambridge University Press, _c2012.
300			_axi, 206 p.
504			_aIncludes bibliographical references and index.
505	8		_aMachine 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"-- _cProvided by publisher.
533			_aElectronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
650		0	_aStochastic processes.
650		0	_aDifferential equations.
650		0	_aStatistical physics.
650		0	_aFinance _xMathematical models.
655		4	_aElectronic books.
710	2		_aProQuest (Firm)
856	4	0	_uhttps://ebookcentral.proquest.com/lib/bacm-ebooks/detail.action?docID=1139554 _zClick to View
999			_c92919 _d92919