From Measures to Itô Integrals
From Measures to Itô Integrals
Paperback
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
No date availablePaperback
9781107400863
128 pages
216 × 138 × 7 mm
0.17kg
2 b/w illus. 55 exercises
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.
