Stochastic Calculus and Differential Equations for Physics and Finance - Image 1

£69.19

Cambridge University Press Stochastic Calculus and Differential Equations for Physics and Finance

Name: Stochastic Calculus and Differential Equations for Physics and Finance
Brand: Cambridge University Press
Price: 46.8 GBP
Availability: InStock

Econometrics

Price History & Forecast

Last 73 days • 73 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 73 days • 4 price levels

Days at Price

Current Price

Price Analysis

Most common price: £37 (46 days, 63.0%)

Price range: £30 - £69

Price levels: 4 different prices over 73 days

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.

Product Specifications

Brand: Cambridge University Press
Format: hardcover
ASIN: 0521763401
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 21 February 2013
Listed Since: 07 July 2012

Barcode

No barcode data available

Cambridge University Press Stochastic Calculus and Differential Equations for Physics and Finance

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-Planck Equation - Fractional Generalizations

Stochastic Calculus: An Introduction Through Theory and Exercises (Universitext)

Stochastic Flows and Stochastic Differential Equations: 24 (Cambridge Studies in Advanced Mathematics, Series Number 24)

Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series)

Stochastic Processes: 33 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 33)

Stochastic Analysis: Itô and Malliavin Calculus in Tandem: Series Number 159 (Cambridge Studies in Advanced Mathematics, Series Number 159)

Stochastic Models (Contemporary Mathematics): Seventh Symposium on Probability and Stochastic Processes, June 23-28, 2002, Mexico City, Mexico

Modeling with Itô Stochastic Differential Equations: 22 (Mathematical Modelling: Theory and Applications, 22)

A First Course in Stochastic Calculus (Pure and Applied Undergraduate Texts)

Modeling with Itô Stochastic Differential Equations: 22 (Mathematical Modelling: Theory and Applications, 22)

Stochastic Methods: A Handbook for the Natural and Social Sciences: 13 (Springer Series in Synergetics, 13)

Introduction to Stochastic Integration (Modern Birkhäuser Classics)

Stochastic Processes: From Physics to Finance

Stochastic Calculus: A Practical Introduction: 6 (Probability and Stochastics Series)

Stochastic Calculus for Fractional Brownian Motion and Applications (Probability and Its Applications)

Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus: 02 (Cambridge Mathematical Library)

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

Introduction To Stochastic Calculus With Applications (3Rd Edition)

Stochastic Analysis and Diffusion Processes (Oxford Graduate Texts in Mathematics): 24

Stochastic Methods: A Handbook for the Natural and Social Sciences: 13 (Springer Series in Synergetics, 13)

Stochastic Calculus via Regularizations: 11 (Bocconi & Springer Series, 11)

Stochastic Calculus via Regularizations: 11 (Bocconi & Springer Series, 11)

Multidimensional Stochastic Processes as Rough Paths: Theory and Applications: 120 (Cambridge Studies in Advanced Mathematics, Series Number 120)

Stochastic Processes and Calculus: An Elementary Introduction with Applications (Springer Texts in Business and Economics)