Stochastic Calculus and Differential Equations for Physics and Finance

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9780521763400: Stochastic Calculus and Differential Equations for Physics and Finance

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.

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Recensione:

'This new book by Joe McCauley is a most welcome and innovative contribution to the important field of mathematical finance theory. It presents a unified, rigorous and comprehensive framework of the dynamics of stochastic calculus that should underpin the mathematics of finance. The book's welcome focus on nonstationary processes and statistical ensembles in time series analysis, developing, inter alia, the Ito calculus and the Fokker-Planck equations as parallel approaches to stochastic processes, will make this the classic and indispensable textbook for any serious graduate courses in applied finance theory - not just for economists, but also for physicists interested in studying the world of finance.' Stefano Zambelli, Algorithmic Social Sciences Research Unit (ASSRU), University of Trento

'Joe McCauley's book fills a gap in the current literature by providing a clear and readable introduction to stochastic calculus and stochastic differential equations for physicists. His book is written in a style that will not deter physicists and other applied scientists from learning these important topics.' Enrico Scalas, University of East Piedmont

'Joe McCauley continues the tradition he has established for clarity of exposition, at the frontiers of research, in fields whose practitioners are in sore need of it. This book is an outstanding contribution to the mathematical needs of able financial theorists who are also interested in underpinning empirical work in sound mathematical theory. I do not think there is any other book that undertakes the difficult tasks McCauley has undertaken in this impeccably well crafted, yet deep and rigorous, book.' K. Vela Velupillai, The New School for Social Research

'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

Descrizione del libro:

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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McCauley, Joseph L.
Editore: Cambridge University Press (2013)
ISBN 10: 0521763401 ISBN 13: 9780521763400
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Descrizione libro Cambridge University Press, 2013. HRD. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780521763400

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JOSEPH L. MCCAULEY
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Descrizione libro 2013. Hardback. Condizione libro: NEW. 9780521763400 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0474406

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McCauley, Joseph
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Descrizione libro Cambridge University Press, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780521763400_lsuk

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Descrizione libro Cambridge University Press, 2013. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780521763400

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Descrizione libro Cambridge University Press. Hardcover. Condizione libro: New. Hardcover. 220 pages. Dimensions: 9.8in. x 7.1in. x 0.6in.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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Codice libro della libreria 9780521763400

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Joseph L. McCauley
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Descrizione libro Cambridge University Press, 2013. Hardcover. Condizione libro: Brand New. 216 pages. 9.76x7.09x0.63 inches. In Stock. Codice libro della libreria __0521763401

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Joseph L. McCauley
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2013. Hardback. Condizione libro: New. 248 x 188 mm. Language: English . Brand New Book ***** Print on Demand *****.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. Codice libro della libreria APC9780521763400

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Joseph L. McCauley
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2013)
ISBN 10: 0521763401 ISBN 13: 9780521763400
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2013. Hardback. Condizione libro: New. 248 x 188 mm. Language: English . Brand New Book ***** Print on Demand *****. 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. Codice libro della libreria APC9780521763400

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McCauley, Joseph L.
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Descrizione libro Cambridge University Press, 2013. Hardcover. Condizione libro: New. Codice libro della libreria INGM9780521763400

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McCauley, Joseph L.
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Descrizione libro Condizione libro: New. This item is Print on Demand - Depending on your location, this item may ship from the US or UK. Codice libro della libreria POD_9780521763400

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