Book contents
- Stochastic Calculus and Differential Equations for Physics and Finance
- Stochastic Calculus and Differential Equations for Physics and Finance
- Copyright page
- Dedication
- Contents
- Abbreviations
- Introduction
- 1 Random variables and probability distributions
- 2 Martingales,Markov, and nonstationarity
- 3 Stochastic calculus
- 4 Itoprocesses 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–Kac
- 10 Stochastic calculus with martingales
- 11 Statistical physics and finance:
- 12 Introduction to new financial economics
- 13 Statistical ensembles and time-series analysis
- 14 Econometrics
- 15 Semimartingales
- References
- Index
Abbreviations
Published online by Cambridge University Press: 05 March 2013
Book contents
- Stochastic Calculus and Differential Equations for Physics and Finance
- Stochastic Calculus and Differential Equations for Physics and Finance
- Copyright page
- Dedication
- Contents
- Abbreviations
- Introduction
- 1 Random variables and probability distributions
- 2 Martingales,Markov, and nonstationarity
- 3 Stochastic calculus
- 4 Itoprocesses 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–Kac
- 10 Stochastic calculus with martingales
- 11 Statistical physics and finance:
- 12 Introduction to new financial economics
- 13 Statistical ensembles and time-series analysis
- 14 Econometrics
- 15 Semimartingales
- References
- Index
- Type
- Chapter
- Information
- Publisher: Cambridge University PressPrint publication year: 2013