Stochastic calculus and differential equations for physics and finance
 Responsibility
 Joseph L. McCauley, Physics Department University of Houston.
 Language
 English.
 Publication
 Cambridge ; New York : Cambridge University Press, 2013.
 Physical description
 xi, 206 pages ; 26 cm.
Access
Creators/Contributors
 Author/Creator
 McCauley, Joseph L.
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 200203) and index.
 Contents

 1. Random variables and probability distributions 2. Martingales, Markov, and nonstationarity 3. Stochastic calculus 4. Ito processes and FokkerPlanck equations 5. Selfsimilar Ito processes 6. Fractional Brownian motion 7. Kolmogorov's PDEs and ChapmanKolmogorov 8. Non Markov Ito processes 9. BlackScholes, martingales, and FeynmanKatz 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.
 (source: Nielsen Book Data)
 Publisher's 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 FokkerPlanck 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 ChapmanKolmogorov and FokkerPlanck 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.
(source: Nielsen Book Data)  Supplemental links

Cover image
Contributor biographical information
Publisher description
Table of contents only
Subjects
Bibliographic information
 Publication date
 2013
 ISBN
 9780521763400
 0521763401