Probability for Finance
Probability for Finance
Jan Malczak, AGH University of Science and Technology, Krakow
Tomasz Zastawniak, University of York
Students and instructors alike will benefit from this rigorous, unfussy text, which keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence and conditioning. Assuming only some calculus and linear algebra, the text develops key results of measure and integration, which are applied to probability spaces and random variables, culminating in central limit theory. Consequently it provides essential prerequisites to graduate-level study of modern finance and, more generally, to the study of stochastic processes. Results are proved carefully and the key concepts are motivated by concrete examples drawn from financial market models. Students can test their understanding through the large number of exercises and worked examples that are integral to the text.
- Real-world examples motivate and illustrate the mathematics
- Exercises range in difficulty to challenge even the most advanced student
- Solutions to exercises are available online
Product details
December 2013Paperback
9780521175579
196 pages
228 × 152 × 12 mm
0.3kg
12 b/w illus. 150 exercises
Available
Table of Contents
- Preface
- 1. Probability space
- 2. Probability distributions and random variables
- 3. Product measure and independence
- 4. Conditional expectation
- 5. Sequences of random variables
- Index.
