Stochastic calculus and differential equations for physics and finance [E-Book] / Joseph L. McCauley, Physics Department University of Houston.
McCauley, Joseph L., (author)
Cambridge : Cambridge University Press, 2013
1 online resource (xi, 206 pages)
Full Text
Table of Contents:
  • Random variables and probability distributions
  • Martingales, Markov, and nonstationarity
  • Stochastic calculus
  • Ito processes and Fokker-Planck equations
  • Selfsimilar Ito processes
  • Fractional Brownian motion
  • Kolmogorov's PDEs and Chapman-Kolmogorov
  • Non Markov Ito processes
  • Black-Scholes, martingales, and Feynman-Katz
  • Stochastic calculus with martingales
  • Statistical physics and finance, a brief history of each
  • Introduction to new financial economics
  • Statistical ensembles and time series analysis
  • Econometrics
  • Semimartingales.