From Measures to Itô Integrals

From Measures to Itô Integrals

Non-Fiction, Education, Science & Maths, Mathematics | Paperback Published on: 31/03/2011
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Synopsis

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.

  • Publisher: Cambridge University Press
  • ISBN: 9781107400863
  • Number of pages: 128
  • Weight: 170g
  • Dimensions: 216 x 138 x 7 mm

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