Dynamics of Markets

DOI10.1017/CBO9780511606588zbMath1052.91002OpenAlexW4240736275MaRDI QIDQ4821527

Joseph L. McCauley

Publication date: 13 October 2004

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

zbMATH Keywords

stochastic processesoption pricingcapital asset pricing modelthermodynamics vs. instability of markets

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to statistical mechanics (82-02) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Foundations of time-dependent statistical mechanics (82C03)

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