From Measures to Itô Integrals |
|
| Author:
| Kopp, Ekkehard |
| Series title: | AIMS Library of Mathematical Sciences Ser. |
| ISBN: | 978-0-511-81311-5 |
| Publication Date: | Jun 2012 |
| Publisher: | Cambridge University Press
|
| Book Format: | Digital download and online |
| List Price: | AUD $270.00 |
Book Description:
|
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.
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.