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.


Title: From Measures to Ito Integrals


Series: AIMS LIBRARY SERIES


ISBN: 9781107400863


Author: Ekkehard Kopp


Publisher: Cambridge University Press


Applicable Grades/Level: Academic Publication


Language: English


Format: Paperback


Type: Academic Resources


From Measures to Ito Integrals 9781107400863


R100.00


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.


Title: From Measures to Ito Integrals


Series: AIMS LIBRARY SERIES


ISBN: 9781107400863


Author: Ekkehard Kopp


Publisher: Cambridge University Press


Applicable Grades/Level: Academic Publication


Language: English


Format: Paperback


Type: Academic Resources