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科图分类法:
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O211.6 版次： |
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中图分类法:
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O211.6 版次： |
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著者:
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McCauley, Joseph L. |
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题名:
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Stochastic calculus and differential equations for physics and finance / / , |
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出版发行:
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出版地： Cambridge ; 出版社： Cambridge University Press, 出版日期： 2013. |
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载体形态:
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xi, 206 p. : ill. ; 26 cm. |
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内容提要:
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"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"-- |
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主题词:
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Stochastic processes. |
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主题词:
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Differential equations. |
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主题词:
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Statistical physics. |
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主题词:
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Finance Mathematical models. |
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索书号:
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1 |