From measures to Ito integrals by Kopp E.

From measures to Ito integrals



Download From measures to Ito integrals




From measures to Ito integrals Kopp E.
Language: English
Page: 130
Format: pdf
ISBN: 1107400864, 9781107400863
Publisher: CUP

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.

About the Author

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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