Stochastic Calculus and Differential Equations for Physics and Finance

by Joseph McCauley

Book Overview

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,...

• Format: Hardcover
• Language: English
• ISBN: 0521763401
• ISBN13: 9780521763400
• Release Date: April 2013
• Publisher: Cambridge University Press
• Length: 220 Pages
• Weight: 1.30 lbs.
• Dimensions: 0.6" x 6.9" x 9.8"