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From Measures to Itô Integrals

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From Measures to Itô Integrals

From Measures to Itô Integrals

Ekkehard Kopp, University of Hull
March 2011
Paperback
9781107400863
AUD$47.95
inc GST
Paperback
USD
eBook
    Description

    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

    March 2011
    Paperback
    9781107400863
    128 pages
    216 × 138 × 7 mm
    0.17kg
    2 b/w illus. 55 exercises
    Available

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    Contents

    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.
      • Show more

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    About the authors
      Author
    • Ekkehard Kopp , University of Hull

      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.

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