|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910826084403321 |
|
|
Autore |
Kopp P. E. <1944-> |
|
|
Titolo |
From Measures to Itô Integrals / / Ekkehard Kopp [[electronic resource]] |
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Cambridge : , : Cambridge University Press, , 2011 |
|
|
|
|
|
|
|
ISBN |
|
1-107-22245-1 |
1-139-07659-0 |
9786613111180 |
1-139-07087-8 |
1-139-08114-4 |
1-139-08341-4 |
1-139-07887-9 |
1-283-11118-7 |
0-511-81311-2 |
|
|
|
|
|
|
|
|
Descrizione fisica |
|
1 online resource (vii, 120 pages) : digital, PDF file(s) |
|
|
|
|
|
|
Collana |
|
|
|
|
|
|
Classificazione |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references and index. |
|
|
|
|
|
|
Nota di contenuto |
|
Probability and measure -- Measures and distribution functions -- Measurable functions/random variables -- Integration and expectation -- Lp-spaces and conditional expectation -- Discrete-time martingales -- Brownian motion -- Stochastic integrals. |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
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. |
|
|
|
|
|
|
|