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.
Sommario
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.
Autore
Joseph L. McCauley is Professor of Physics at the University of Houston. During his career he has contributed to several fields, including statistical physics, superfluids, nonlinear dynamics, cosmology, econophysics, economics and finance theory.
Altre Informazioni
ISBN:
9780521763400
Condizione: Nuovo
Dimensioni: 244 x 14 x 170 mm Ø 550 gr
Formato: Copertina rigida
Illustration Notes:4 b/w illus.
Pagine Arabe: 220
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