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Look Inside From Measures to Itô Integrals

From Measures to Itô Integrals

£24.99

Part of AIMS Library of Mathematical Sciences

  • 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.

    • 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.

    Look Inside

  • Author

    Ekkehard Kopp, University of Hull
    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.

This title is available for institutional purchase via Cambridge Core

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