From Measures to Ito Integrals
Published on 31. March 2011
Book
Paperback/Softback
128 pages
978-1-107-40086-3 (ISBN)
Description
From Measures to Ito Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Ito 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 Ito calculus.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
College/higher education
Product notice
Paperback (trade)
Illustrations
Worked examples or Exercises; 2 Line drawings, unspecified
Dimensions
Height: 216 mm
Width: 140 mm
Thickness: 7 mm
Weight
174 gr
ISBN-13
978-1-107-40086-3 (9781107400863)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Ekkehard Kopp
From Measures to Ito Integrals
E-Book
05/2011
1st Edition
Cambridge University Press
€24.99
Available for download
Person
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.
Content
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.