[PDF] Stochastic Calculus and Differential Equations for Physics and Finance Free Download

[message] Brief Description [PDF] Stochastic Calculus and Differential Equations for Physics and Finance Free Download by Joseph L. McCauley...

  • [message]
    • Brief Description
      • [PDF] Stochastic Calculus and Differential Equations for Physics and Finance Free Download by Joseph L. McCauley | Publisher : Cambridge University Press | Category : Science | Tags : Calculus, Physics, Analysis, Models, Theory, Financial | ISBN-10 : 0521763401 | ISBN-13 : 9780521763400
  • [message]
    • Book Image
      • Stochastic Calculus and Differential Equations for Physics and Finance by Joseph L. McCauley, Publisher : Cambridge University Press
  • [message]
    • Complete Book Description
      • 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.

        Table of Contents

        Chapter 1 Random variables and probability distributions
        Chapter 2 Martingales, Markov, and nonstationarity
        Chapter 3 Stochastic calculus
        Chapter 4 Ito processes and Fokker-Plan
        Chapter 6 Fractional Brownian motion
        Chapter 7 Kolmogorov’s pdes and Chapman-Kolmogorov
        Chapter 8 Non-Markov Ito processes
        Chapter 9 Black-Scholes, martingales, and Feynman-Kac
        Chapter 10 Stochastic calculus with martingales
        Chapter 11 Statistical physics and ?nance: A brief history of each
        Chapter 12 Introduction to new ?nancial economics
        Chapter 13 Statistical ensembles and time-series analysis
        Chapter 14 Econometrics
        Chapter 15 Semimartingales

  • [message]
    • Book Details
      • Book Name : Stochastic Calculus and Differential Equations for Physics and Finance

        Edition : 1

        Author : Joseph L. McCauley

        Publisher : Cambridge University Press

        Category : Science

        ISBN-10 : 0521763401

        ISBN-13 : 9780521763400

        ASIN : 0521763401

        Pages : 215

        Language : English

        Publish Date : April 8, 2013
  • [message]
    • Purchase on Amazon

These study materials are for information purposes and completely free. If you find these study material useful please write to us in a comment box.

Disclaimer : We are not the original publisher of this Book/Material on net. This eBook/Material had been collected from other sources of net.

Thank You
The Free Study Team

COMMENTS