From Measures to Itô Integrals
From Measures to Itô Integrals
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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
Product details
May 2011Adobe eBook Reader
9781139066280
0 pages
0kg
2 b/w illus. 55 exercises
This ISBN is for an eBook version which is distributed on our behalf by a third party.
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.
