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Stochastic Methods

A Handbook for the Natural and Social Sciences

Crispin Gardiner author

Format:Hardback

Publisher:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Published:16th Jan '09

Should be back in stock very soon

This hardback is available in another edition too:

Stochastic Methods cover

This updated edition of Stochastic Methods offers a comprehensive look at stochastic processes and their applications in finance, reflecting recent advancements.

In the fourth edition of Stochastic Methods, the author revisits the foundational concepts of stochastic processes while integrating contemporary advancements in financial markets. This edition has been thoroughly revised and reset, ensuring that readers benefit from the latest developments in the field. The chapters on Fokker-Planck equations and approximation methods have been reorganized, with new material introduced to enhance understanding of driven stochastic systems and simulation methods grounded in Poisson representation.

Responding to the transformative impact of Fischer Black and Myron Scholes' option pricing formula, the author has included a dedicated chapter on the application of stochastic methods within financial contexts. This exploration goes beyond the traditional geometric Brownian motion model, delving into various methods that reflect the complexities of real-world financial markets. Notably, Levy processes and their relevance to finance are discussed, highlighting their significance in current theoretical frameworks.

The evolution of rigorous mathematical formulations of stochastic processes is also a focal point in this edition. The author emphasizes the increased precision and generality that have emerged in modern applications, particularly within finance. By bridging classical theory with contemporary practices, Stochastic Methods serves as an essential resource for both students and professionals seeking to navigate the intricate landscape of stochastic analysis in financial markets.

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)

ISBN: 9783540707127

Dimensions: unknown

Weight: unknown

447 pages

Fourth Edition 2009