Read more
Zusatztext 'This book represents a rare and successful effort to provide a unified treatment of continuous time stochastic processes derived from both finance and physics. It constitutes an effective guide for physicists trying to understand the models of modern finance and for students of mathematical finance looking for methods neglected by the traditional books on the subject. The intuitive presentation of models in terms of physical and financial phenomena and the constant attention to their practical applicability make this book extremely useful also for those already knowledgeable about the subject.' Giulio Bottazzi! Scuola Superiore Sant'Anna Informationen zum Autor Joseph L. McCauley is Professor of Physics at the University of Houston. During his career he has contributed to several fields, including statistical physics, superfluids, nonlinear dynamics, cosmology, econophysics, economics and finance theory. Klappentext Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes. Zusammenfassung 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. Inhaltsverzeichnis 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....
