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Stochastic Methods

A Handbook for the Natural and Social Sciences
BuchKartoniert, Paperback
447 Seiten
Englisch
Springererschienen am19.10.20104th ed. Softcover version of original hardcover edition 2009
Further, in response to the revolution in ?nancial m- kets 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 me- ods to ?nancial markets.mehr
Verfügbare Formate
BuchGebunden
EUR80,24
BuchKartoniert, Paperback
EUR74,99

Produkt

KlappentextFurther, in response to the revolution in ?nancial m- kets 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 me- ods to ?nancial markets.
ZusammenfassungThis classic text and reference collects the many formulae and methods that can be found in the scientific literature on stochastic methods. This fourth edition has been thoroughly updated and restructured, and features a large amount of entirely new material.
Details
ISBN/GTIN978-3-642-08962-6
ProduktartBuch
EinbandartKartoniert, Paperback
Verlag
Erscheinungsjahr2010
Erscheinungsdatum19.10.2010
Auflage4th ed. Softcover version of original hardcover edition 2009
ReiheSpringer Series in Synergetics
Seiten447 Seiten
SpracheEnglisch
Gewicht693 g
IllustrationenXVIII, 447 p.
Artikel-Nr.10310858

Inhalt/Kritik

Inhaltsverzeichnis
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.mehr
Kritik
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)mehr

Schlagworte