Dynamics of Markets

DOI10.1017/CBO9780511805448zbMath1186.91007OpenAlexW4214905207MaRDI QIDQ5902185

Joseph L. McCauley

Publication date: 26 October 2009

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

zbMATH Keywords

martingalesstochastic processesoption pricingequilibriumfinancial marketscapital asset pricing modelportfolio selectioneconophysicsItô processesinstability of marketsscaling, complexity

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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