000888109 000__ 03277nam\a2200481\a\4500 000888109 001__ 888109 000888109 003__ MiAaPQ 000888109 005__ 20211103003911.0 000888109 006__ m\\\\\o\\d\\\\\\\\ 000888109 007__ cr\cn\nnnunnun 000888109 008__ 120731s2012\\\\enk\\\\\ob\\\\001\0\eng\d 000888109 010__ $$z 2012030955 000888109 020__ $$z9780521763400 000888109 020__ $$a9781107332911 (electronic bk.) 000888109 035__ $$a(MiAaPQ)EBC1139554 000888109 035__ $$a(Au-PeEL)EBL1139554 000888109 035__ $$a(CaPaEBR)ebr10659339 000888109 035__ $$a(CaONFJC)MIL456992 000888109 035__ $$a(OCoLC)829459852 000888109 040__ $$aMiAaPQ$$cMiAaPQ$$dMiAaPQ 000888109 050_4 $$aQC20.7.S8$$bM39 2012 000888109 08204 $$a519.2$$223 000888109 1001_ $$aMcCauley, Joseph L. 000888109 24510 $$aStochastic calculus and differential equations for physics and finance/$$cJoseph L. McCauley. 000888109 260__ $$aCambridge ;$$aNew York :$$bCambridge University Press,$$c2012. 000888109 300__ $$axi, 206 p. 000888109 336__ $$atext$$2rdacontent 000888109 337__ $$acomputer$$2rdamedia 000888109 338__ $$aonline resource$$2rdacarrier 000888109 504__ $$aIncludes bibliographical references and index. 000888109 5058_ $$aMachine generated contents note: 1. Random variables and probability distributions; 2. Martingales, Markov, and nonstationarity; 3. Stochastic calculus; 4. Ito processes and Fokker-Planck equations; 5. Selfsimilar Ito processes; 6. Fractional Brownian motion; 7. Kolmogorov's PDEs and Chapman-Kolmogorov; 8. Non Markov Ito processes; 9. Black-Scholes, martingales, and Feynman-Katz; 10. Stochastic calculus with martingales; 11. Statistical physics and finance, a brief history of both; 12. Introduction to new financial economics; 13. Statistical ensembles and time series analysis; 14. Econometrics; 15. Semimartingales; References; Index. 000888109 506__ $$aAccess limited to authorized users. 000888109 520__ $$a"Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics"--$$cProvided by publisher. 000888109 650_0 $$aStochastic processes. 000888109 650_0 $$aDifferential equations. 000888109 650_0 $$aStatistical physics. 000888109 650_0 $$aFinance$$xMathematical models. 000888109 655_0 $$aElectronic books 000888109 852__ $$bebk 000888109 85640 $$3ProQuest Ebook Central Academic Complete $$uhttps://univsouthin.idm.oclc.org/login?url=https://ebookcentral.proquest.com/lib/usiricelib-ebooks/detail.action?docID=1139554$$zOnline Access 000888109 909CO $$ooai:library.usi.edu:888109$$pGLOBAL_SET 000888109 980__ $$aBIB 000888109 980__ $$aEBOOK 000888109 982__ $$aEbook 000888109 983__ $$aOnline