Dynamics of Markets

DOI10.1017/CBO9780511606588zbMath1052.91002MaRDI QIDQ4821527

Joseph L. McCauley

Publication date: 13 October 2004

Full work available at URL: https://doi.org/10.1017/cbo9780511606588

zbMATH Keywords

stochastic processes; option pricing; capital asset pricing model; thermodynamics vs. instability of markets

Mathematics Subject Classification ID

91B80: Applications of statistical and quantum mechanics to economics (econophysics)

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91B24: Microeconomic theory (price theory and economic markets)

91G20: Derivative securities (option pricing, hedging, etc.)

82-02: Research exposition (monographs, survey articles) pertaining to statistical mechanics

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

82C03: Foundations of time-dependent statistical mechanics

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