From Measures to Itô Integrals / (Record no. 13576)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02802cam a2200265 i 4500 |
| 001 - CONTROL NUMBER | |
| control field | GB470 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IN-BhIIT |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20231201162618.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 101129s2011 enka b 001 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9781107444294 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | IN-BhIIT |
| 041 ## - LANGUAGE CODE | |
| Language code of text | eng |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 515.42 |
| Book number | KOP/F |
| 100 1# - MAIN ENTRY--AUTHOR NAME | |
| Personal name | Kopp, P. E. |
| Relator term | Author. |
| 245 10 - TITLE STATEMENT | |
| Title | From Measures to Itô Integrals / |
| Statement of responsibility, etc | by Ekkehard Kopp. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | Cambridge : |
| Name of publisher | Cambridge University Press, |
| Year of publication | 2011. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | vii, 120 pages : |
| Other physical details(ill.) | illustrations ; |
| Dimensions(size) | 22 cm. |
| 490 1# - SERIES STATEMENT | |
| Series statement | African Institute of Mathematics Library Series |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references (page 118) and index. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Machine generated contents note: Preface; 1. Probability and measure; 2. Measures and distribution functions; 3. Measurable functions/random variables; 4. Integration and expectation; 5. Lp-spaces and conditional expectation; 6. Discrete-time martingales; 7. Brownian motion; 8. Stochastic integrals; Bibliography; Index. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | "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"-- |
| Summary, etc | "Undergraduate mathematics syllabi vary considerably in their coverage of measure-theoretic probability theory, so beginning graduates often find substantial gaps in their background when attending modules in advanced analysis, stochastic processes and applications. This text seeks to fill some of these gaps concisely. The exercises form an integral part of the text. The material arose from my experience of teaching AIMS students between 2004 and 2007, of which I retain many fond memories. The AIMS series format allows few explorations of byways; and the objective of arriving at a reasonably honest but concise account of the Itô integral decided most of the material. With motivation from elementary probability we discuss measures and integrals, leading via L2-theory and conditional expectation to discrete martingales and an outline proof of the Radon-Nikodym Theorem. The last two chapters introduce Brownian Motion and Itô integrals, with a brief look at martingale calculus. Here proofs of several key results are only sketched briefly or omitted. The Black-Scholes option pricing model provides the main application. None of the results presented is new; any remaining errors are mine"-- |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Measure theory |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Gratis Book |
| Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Date acquired | Full call number | Accession Number | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|
| Not withdrawn | Not Lost | not damaged | Central Library, IIT Bhubaneswar | Central Library, IIT Bhubaneswar | 23/11/2023 | 515.42 KOP/F | GB470 | 01/12/2023 | Gratis Book |