{"product_id":"stochastic-calculus-and-differential-equations-for-physics-and-finance-hardback-9780521763400","title":"Stochastic Calculus and Differential Equations for Physics and Finance (Hardback) 9780521763400","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eStochastic Calculus and Differential Equations for Physics and Finance\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cem\u003eProvides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eJoseph L. McCauley (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780521763400, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 21 February 2013\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e220 pages, 4 b\/w illus.\u003cbr\u003e24.4 x 17 x 1.4 cm, 0.55 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e'The book gives a good introduction to stochastic calculus and is a helpful supplement to other well-known books on this topic. It may be recommended to graduate students in finance, stochastic analysis and physics, as well as practitioners of this field.' Oliver Janke, Zentralblatt MATH\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eStochastic 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.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e1. Random variables and probability distributions\u003cbr\u003e 2. Martingales, Markov, and nonstationarity\u003cbr\u003e 3. Stochastic calculus\u003cbr\u003e 4. Ito processes and Fokker–Planck equations\u003cbr\u003e 5. Selfsimilar Ito processes\u003cbr\u003e 6. Fractional Brownian motion\u003cbr\u003e 7. Kolmogorov's PDEs and Chapman–Kolmogorov\u003cbr\u003e 8. Non Markov Ito processes\u003cbr\u003e 9. Black–Scholes, martingales, and Feynman–Katz\u003cbr\u003e 10. Stochastic calculus with martingales\u003cbr\u003e 11. Statistical physics and finance, a brief history of both\u003cbr\u003e 12. Introduction to new financial economics\u003cbr\u003e 13. Statistical ensembles and time series analysis\u003cbr\u003e 14. Econometrics\u003cbr\u003e 15. Semimartingales\u003cbr\u003e References\u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Physics [\u003ca title=\"See our other books on Physics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Physics%20%5BPH%5D%22\"\u003ePH\u003c\/a\u003e], Mathematics \u0026amp; science [\u003ca title=\"See our other books on Mathematics \u0026amp; science\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Mathematics%20\u0026amp;%20science%20%5BP%5D%22\"\u003eP\u003c\/a\u003e], Economics [\u003ca title=\"See our other books on Economics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Economics%20%5BKC%5D%22\"\u003eKC\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":46265019728152,"sku":"9780521763400","price":100.56,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/products\/9780521763400i.jpg?v=1692018952","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/stochastic-calculus-and-differential-equations-for-physics-and-finance-hardback-9780521763400","provider":"Freshly Printed Books","version":"1.0","type":"link"}