Other available formats:
Looking for an inspection copy?
This title is not currently available for inspection. However, if you are interested in the title for your course we can consider offering an inspection copy. To register your interest please contact email@example.com providing details of the course you are teaching.
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
Not yet reviewed
Be the first to review
Review was not posted due to profanity×
- Date Published: March 2011
- format: Paperback
- isbn: 9781107400863
- length: 128 pages
- dimensions: 216 x 138 x 1 mm
- weight: 0.17kg
- contains: 2 b/w illus. 55 exercises
- availability: Available
Table of Contents
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
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email firstname.lastname@example.orgRegister Sign in
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.Continue ×
Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.×