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From Measures to Ito Integrals
Paperback / softback
Main Details
| Title |
From Measures to Ito Integrals
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| Authors and Contributors |
By (author) Ekkehard Kopp
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| Series | AIMS Library of Mathematical Sciences |
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| Physical Properties |
| Format:Paperback / softback | | Pages:128 | | Dimensions(mm): Height 216,Width 138 |
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| Category/Genre | Finance
Probability and statistics |
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| ISBN/Barcode |
9781107400863
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| Classifications | Dewey:515.42 |
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| Audience | | Postgraduate, Research & Scholarly | |
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| Illustrations |
Worked examples or Exercises; 2 Line drawings, unspecified
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Publishing Details |
| Publisher |
Cambridge University Press
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| Imprint |
Cambridge University Press
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| Publication Date |
31 March 2011 |
| Publication Country |
United Kingdom
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Description
From Measures to Ito Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Ito 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 Ito calculus.
Author Biography
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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