Stochastic methods (Record no. 2794)

000 -LEADER
fixed length control field 02563nam a22002177a 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20241121115126.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 190730b ||||| |||| 00| 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9783642089626
040 ## - CATALOGING SOURCE
Transcribing agency Tata Book House
Original cataloging agency ICTS-TIFR
050 ## - LIBRARY OF CONGRESS CALL NUMBER
Classification number QA274
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Crispin Gardiner
245 ## - TITLE STATEMENT
Title Stochastic methods
Remainder of title : a handbook for the natural and social sciences
250 ## - EDITION STATEMENT
Edition statement 4th ed.
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. Heidelberg:
Name of publisher, distributor, etc. Springer-Verlag,
Date of publication, distribution, etc. [c2009]
300 ## - Physical Description
Pages: 447 p
490 ## - SERIES STATEMENT
Series statement Springer Series in Synergetics
Volume/sequential designation Vol. 13
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note 1. A Historical Introduction.<br/>2. Probability Concepts.<br/>3. Markov Processes.<br/>4. The Ito Calculus and Stochastic Differential Equations.<br/>5. The Fokker Planck Equation.<br/>6. The Fokker Planck Equation in Several Dimensions.<br/>7. Small Noise Approximations for Diffusion Processes.<br/>8. The White Noise Limited.<br/>9. Beyond the White Noise Limit.<br/>10. Levy Processes and Financial Applications.<br/>11. Master Equations and Jump Processes.<br/>12. The Poisson Representation.<br/>13. Spatially Distributed Systems.<br/>14. Bistability, Mestability, and Escape Problems.<br/>15. Simulation of Stochastic Differential Equations
520 ## - SUMMARY, ETC.
Summary, etc. 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 greater precision and generality, and this has been reflected in the way the subject is presented in modern applications, particularly in finance. --- summary provided by publisher
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Book
Holdings
Withdrawn status Lost status Damaged status Not for loan Collection code Home library Shelving location Date acquired Full call number Accession No. Koha item type
          ICTS Rack No 5 07/31/2019 QA274 02151 Book