Stochastic Methods : A Handbook for the Natural and Social Sciences
Fourth Edition 2009
Book Details
Format
Paperback / Softback
Book Series
Springer Series in Synergetics
ISBN-10
3642089623
ISBN-13
9783642089626
Edition
Fourth Edition 2009
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Oct 19th, 2010
Print length
447 Pages
Weight
674 grams
Dimensions
23.50 x 15.60 x 2.60 cms
Product Classification:
Cybernetics & systems theoryCybernetics and systems theoryEconomic theory & philosophyEconomic theory and philosophyProbability & statisticsProbability and statisticsStochasticsOptical physicsQuantum physics (quantum mechanics & quantum field theory)Quantum physics (quantum mechanics and quantum field theory)Mathematical / Computational / Theoretical physicsMathematical physicsPhysical chemistry
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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.
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.
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