Stochastic Methods

A Handbook for the Natural and Social Sciences

Inbunden, Engelska, 2009

Av Crispin Gardiner

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Further, in response to the revolution in financial markets following from the discovery by Fischer Black and Myron Scholes of a reliable option pricing formula, I have written a chapter on the application of stochastic methods to financial markets.

Produktinformation

Utgivningsdatum2009-01-16
Mått155 x 235 x 34 mm
Vikt840 g
FormatInbunden
SpråkEngelska
SerieSpringer Series in Synergetics
Antal sidor447
Upplaga4
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783540707127

Tillhör följande kategorier

A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Stochastic Differential Equations.- The Fokker-Planck Equation.- The Fokker-Planck Equation in Several Dimensions.- Small Noise Approximations for Diffusion Processes.- The White Noise Limit.- Beyond the White Noise Limit.- Lévy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Metastability, and Escape Problems.- Simulation of Stochastic Differential Equations.

From the reviews of the fourth edition: "This is the fourth edition of a textbook intended for everyone interested in practising stochastic processes. ... this fourth one is 'thoroughly revised and augmented, and has been completely reset. ... this new edition is designed to cater better for the wider readership as well as to those [he] originally had in mind'. ... The bibliography is well presented, with a list of the references cited in each chapter, a commented global bibliography and an author index." (Yves Elskens, Belgian Physical Society Magazine, Issue 2, 2012)