Product details
ISBN
9781107400863
Published
2011-03-31
Publisher
Cambridge University Press
Weight
170 gr
Height
216 mm
Width
138 mm
Thickness
7 mm
Age
UP, 05
Language
Product language
Engelsk
Format
Product format
Heftet
Number of pages
128
Author
Biographical note
Ekkehard Kopp studied at Stellenbosch University and obtained his PhD from the University of Oxford in 1970. He held academic positions at the University of Hull from 1970 until his retirement in 2004, including serving as Dean of Mathematics and Pro-Vice-Chancellor. He is the author of over 50 publications in analysis, probability and mathematical finance.
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.
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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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Probability theory from the ground up, with an emphasis on finance applications.
Product details
ISBN
9781107400863
Published
2011-03-31
Publisher
Cambridge University Press
Weight
170 gr
Height
216 mm
Width
138 mm
Thickness
7 mm
Age
UP, 05
Language
Product language
Engelsk
Format
Product format
Heftet
Number of pages
128
Author