From Measures to It�o Integrals (Record no. 196344)

MARC details
000 -LEADER
fixed length control field 03396nam a2200349 a 4500
001 - CONTROL NUMBER
control field ebr10469136
003 - CONTROL NUMBER IDENTIFIER
control field CaPaEBR
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
fixed length control field m u
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cn|||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 101129s2011 enka sb 001 0 eng d
010 ## - LIBRARY OF CONGRESS CONTROL NUMBER
Canceled/invalid LC control number 2010050362
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9781107400863 (pbk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9781139081146 (e-book)
040 ## - CATALOGING SOURCE
Original cataloging agency CaPaEBR
Transcribing agency CaPaEBR
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)726740643
050 14 - LIBRARY OF CONGRESS CALL NUMBER
Classification number QA312
Item number .K5867 2011eb
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 515/.42
Edition number 22
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Kopp, P. E.,
Dates associated with a name 1944-
245 10 - TITLE STATEMENT
Title From Measures to It�o Integrals
Medium [electronic resource] /
Statement of responsibility, etc. Ekkehard Kopp.
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. Cambridge [England] ;
-- New York :
Name of publisher, distributor, etc. Cambridge University Press,
Date of publication, distribution, etc. 2011.
300 ## - PHYSICAL DESCRIPTION
Extent vii, 120p. :
Other physical details ill.
490 1# - SERIES STATEMENT
Series statement African Institute of Mathematics Library series
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc. note Includes bibliographical references 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 It�o Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, It�o 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 It�o calculus"--
Assigning source Provided by publisher.
520 ## - SUMMARY, ETC.
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 It�o 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 It�o 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"--
Assigning source Provided by publisher.
533 ## - REPRODUCTION NOTE
Type of reproduction Electronic reproduction.
Place of reproduction Palo Alto, Calif. :
Agency responsible for reproduction ebrary,
Date of reproduction 2011.
Note about reproduction Available via World Wide Web.
-- Access may be limited to ebrary affiliated libraries.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Measure theory
Form subdivision Textbooks.
655 #7 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
Source of term local
710 2# - ADDED ENTRY--CORPORATE NAME
Corporate name or jurisdiction name as entry element ebrary, Inc.
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title AIMS library series.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://site.ebrary.com/lib/daystar/Doc?id=10469136">http://site.ebrary.com/lib/daystar/Doc?id=10469136</a>
Public note An electronic book accessible through the World Wide Web; click to view

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