| 書目名稱 | Stochastic Methods | | 副標(biāo)題 | A Handbook for the N | | 編輯 | Crispin Gardiner | | 視頻video | http://file.papertrans.cn/878/877991/877991.mp4 | | 概述 | The leading reference text in the field for many years and continuously updated and expanded..Features new sections and chapters on quantitative finance, adiabatic elimination and simulation methods.. | | 叢書名稱 | Springer Series in Synergetics | | 圖書封面 |  | | 描述 | .This fourth edition of Stochastic Methods is thoroughly revised and augmented, and has been completely reset. While keeping to the spirit of the book I wrote originally, I have reorganised the chapters of Fokker-Planck equations and those on approximation methods, and introduced new material on the white noise limit of driven stochastic systems, and on applications and validity of simulation methods based on the Poisson representation. 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. In doing this, I have not restricted myself to the geometric Brownian motion model, but have also attempted to give some favour of the kinds of methods used to take account of the realities of financial markets. This means that I have also given a treatment of Levy processes and their applications to finance, since these are central to most current thinking. Since this book was written the rigorous mathematical formulation of stochastic processes has developed considerably, most particularly towards grea | | 出版日期 | Textbook 2009Latest edition | | 關(guān)鍵詞 | Brownian motion; Excel; Fokker-Planck equation; Lévy process; Markov process; diffusion process; electroni | | 版次 | 4 | | isbn_softcover | 978-3-642-08962-6 | | issn_series | 0172-7389 | | copyright | Springer-Verlag Berlin Heidelberg 2009 |
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