Produktdetaljer
ISBN
9781107400863
Publisert
2011-03-31
Utgiver
Cambridge University Press
Vekt
170 gr
Høyde
216 mm
Bredde
138 mm
Dybde
7 mm
Aldersnivå
UP, 05
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
128
Forfatter
Biografisk notat
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.
Les mer
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.
Les mer
Probability theory from the ground up, with an emphasis on finance applications.
Produktdetaljer
ISBN
9781107400863
Publisert
2011-03-31
Utgiver
Cambridge University Press
Vekt
170 gr
Høyde
216 mm
Bredde
138 mm
Dybde
7 mm
Aldersnivå
UP, 05
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
128
Forfatter