From Measures to Itô Integrals

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