Dynamics of Markets

DOI10.1017/CBO9780511805448zbMath1186.91007MaRDI QIDQ5902185

Joseph L. McCauley

Publication date: 26 October 2009

Full work available at URL: https://doi.org/10.1017/cbo9780511805448

zbMATH Keywords

martingales; stochastic processes; option pricing; equilibrium; financial markets; capital asset pricing model; portfolio selection; econophysics; Itô processes; instability of markets; scaling, complexity

Mathematics Subject Classification ID

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

91B84: Economic time series analysis

91B70: Stochastic models in economics

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

91G80: Financial applications of other theories

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

91G10: Portfolio theory

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