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Stochastic Calculus and Differential Equations for Physics and Finance by Joseph
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- Buy It NowStochastic Calculus and Differential Equations for Physics and Finance by Joseph
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eBay item number:145706427511
Item specifics
- Condition
- ISBN-13
- 9780521763400
- Book Title
- Stochastic Calculus and Differential Equations for Physics and Fi
- ISBN
- 9780521763400
- Publication Year
- 2013
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Publication Name
- Stochastic Calculus and Differential Equations for Physics and Finance
- Item Height
- 244mm
- Publisher
- Cambridge University Press
- Item Width
- 170mm
- Subject
- Finance, Mathematics, Physics
- Item Weight
- 550g
- Number of Pages
- 220 Pages
About this product
Product Information
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.
Product Identifiers
Publisher
Cambridge University Press
ISBN-13
9780521763400
eBay Product ID (ePID)
138848160
Product Key Features
Publication Name
Stochastic Calculus and Differential Equations for Physics and Finance
Format
Hardcover
Language
English
Subject
Finance, Mathematics, Physics
Publication Year
2013
Type
Textbook
Number of Pages
220 Pages
Dimensions
Item Height
244mm
Item Width
170mm
Item Weight
550g
Additional Product Features
Country/Region of Manufacture
United Kingdom
Item description from the seller
Business seller information
Value Added Tax number:
- AU 82107909133
- GB 293967539
Seller assumes all responsibility for this listing.
eBay item number:145706427511
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