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Record Nr. |
UNINA9910821699303321 |
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Autore |
McCauley Joseph L. |
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Titolo |
Stochastic calculus and differential equations for physics and finance / / Joseph L. McCauley, Physics Department University of Houston [[electronic resource]] |
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Pubbl/distr/stampa |
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Cambridge : , : Cambridge University Press, , 2013 |
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ISBN |
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1-107-23323-2 |
1-107-33291-5 |
1-107-33457-8 |
1-107-33623-6 |
1-139-01946-5 |
1-299-25742-9 |
1-107-33226-5 |
1-107-33540-X |
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Descrizione fisica |
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1 online resource (xi, 206 pages) : digital, PDF file(s) |
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Classificazione |
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Disciplina |
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Soggetti |
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Stochastic processes |
Differential equations |
Statistical physics |
Finance - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many |
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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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2. |
Record Nr. |
UNINA9910971860403321 |
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Autore |
Khan Muhammad Akram <1945-> |
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Titolo |
Islamic economics and finance : a glossary / / Muhammad Akram Khan |
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Pubbl/distr/stampa |
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London ; ; New York, : Routledge, 2003 |
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ISBN |
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9786610267675 |
9781134365999 |
1134365993 |
9780429234484 |
0429234481 |
9781134366002 |
1134366000 |
9781280267673 |
1280267674 |
9780203615317 |
020361531X |
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Edizione |
[2nd ed.] |
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Descrizione fisica |
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1 online resource (195 pages) |
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Collana |
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Routledge international studies in money and banking ; ; 23 |
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Classificazione |
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Altri autori (Persone) |
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KhanMuhammad Akram <1945-> |
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Disciplina |
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Soggetti |
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Economics - Arabic |
Economics - Religious aspects - Islam - Arabic |
Arabic language - English |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Rev. ed. of: Glossary of Islamic economics. London ; New York : Mansell, 1990. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Front Cover -- Islamic Economics and Finance -- Copyright Page -- Contents -- Preface to second edition -- Preface to first edition -- Transliteration of Arabic words and names -- Glossary -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- U -- V -- W -- Y -- Z. |
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Sommario/riassunto |
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Islamic economics and finance have increased in importance over the last few decades, with new Islamic financial institutions opening up and a number of important books published on the topic. This glossary, fully updated and revised for the new edition, uses easy to understand language to introduce terms used by Muslim scholars, historians and legal experts. The book covers terms from Arabic, Urdu, Turkish, Malaysian and English sources whilst covering the Islamic side of such terms as taxation, banking, insurance, accounting, and auditing. |
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