From Measures to Itô Integrals
£24.99
Part of AIMS Library of Mathematical Sciences
- Author: Ekkehard Kopp, University of Hull
- Date Published: March 2011
- availability: In stock
- format: Paperback
- isbn: 9781107400863
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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.
Read more- Accessible to readers with only a basic knowledge of calculus and linear algebra
- Includes examples and carefully chosen exercises suitable for self-study
- Useful for beginning quants, finance practitioners and graduates entering study in mathematical finance
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×Product details
- Date Published: March 2011
- format: Paperback
- isbn: 9781107400863
- length: 128 pages
- dimensions: 216 x 138 x 7 mm
- weight: 0.17kg
- contains: 2 b/w illus. 55 exercises
- availability: In stock
Table of Contents
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.
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