
Stochastic Methods Av Crispin Gardiner
In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners....
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Topplisten: Springer-Verlag Berlin And Heidelberg Gmbh & Co. Kg Økonomi og ledelse
Produktinformasjon
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
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