Hydrodynamics of Markets: Hidden Links Between Physics and Finance

by Alexander Lipton

An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in random fields described by the Kolmogorov and Klein-Kramers equations, the Ornstein-Uhlenbeck and Feller processes, and their generalizations. They are reduced to affine differential and pseudo-differential equations...

• Format: Hardcover
• Language: English
• ISBN: 1009503111
• ISBN13: 9781009503112
• Release Date: November 2024
• Publisher: Cambridge University Press
• Length: 75 Pages