Freshly Printed - allow 3 days lead
Couldn't load pickup availability
From Measures to Itô Integrals
Probability theory from the ground up, with an emphasis on finance applications.
Ekkehard Kopp (Author)
9781107400863, Cambridge University Press
Paperback / softback, published 31 March 2011
128 pages, 2 b/w illus. 55 exercises
21.6 x 13.8 x 0.1 cm, 0.17 kg
From Measures to Itô Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Itô integrals and a brief look at martingale calculus. Modern probability theory and the applications of stochastic processes rely heavily on an understanding of basic measure theory. This text is ideal preparation for graduate-level courses in mathematical finance and perfect for any reader seeking a basic understanding of the mathematics underpinning the various applications of Itô calculus.
Preface
1. Probability and measure
2. Measures and distribution functions
3. Measurable functions/random variables
4. Integration and expectation
5. Lp-spaces and conditional expectation
6. Discrete-time martingales
7. Brownian motion
8. Stochastic integrals
Bibliography
Index.
Subject Areas: Probability & statistics [PBT], Finance [KFF]