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From Measures to Itô Integrals
Ekkehard Kopp
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Description for From Measures to Itô Integrals
paperback. Probability theory from the ground up, with an emphasis on finance applications. Series: Aims Library of Mathematical Sciences. Num Pages: 128 pages, 2 b/w illus. 55 exercises. BIC Classification: KFF; PBKL; PBT. Category: (U) Tertiary Education (US: College). Dimension: 215 x 138 x 7. Weight in Grams: 172.
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.
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.
Product Details
Format
Paperback
Publication date
2011
Publisher
Cambridge University Press
Number of pages
128
Condition
New
Series
Aims Library of Mathematical Sciences
Number of Pages
128
Place of Publication
Cambridge, United Kingdom
ISBN
9781107400863
SKU
V9781107400863
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-48
About Ekkehard Kopp
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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