From Measures to Ito Integrals

Informationen zum Autor 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. Klappentext Probability theory from the ground up, with an emphasis on finance applications. Zusammenfassung This concise introduction to the background theory of stochastic processes begins with a clear account of measure theory and leads up to the Itô formula and its basic applications in Black–Scholes theory. Ideal for beginning graduate students, this treatment is reasonably rigorous and includes carefully chosen exercises. Inhaltsverzeichnis 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.

Product details

• Authors: Ekkehard Kopp, Ekkehard (University of Hull) Kopp
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 31.03.2011
• EAN: 9781107400863
• ISBN: 978-1-107-40086-3
• No. of pages: 128
• Series: Aims Library of Mathematical Sciences; AIMS Library; AIMS Library of Mathematical Sciences; Aims Library of Mathematical S
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Analysis; Social sciences, law, business > Business > Business administration; Finance, BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Calculus, Probability & statistics, Integral calculus & equations, Probability and statistics, Integral calculus and equations, Finance and the finance industry