Gan, Guojun, 1979-
Measure, probability, and mathematical finance : a problem oriented approach / Guojun Gan, Chaoqun Ma, Hong Xie. - Hoboken, NJ. : John Wiley & Sons Inc., 2014. - xxiii, 715 p. ; 24 cm.
Includes bibliographical references and index.
Preface -- Measure theory -- Sets and sequences -- Measures -- Extension of measures -- Lebesgue Stieltjee measures -- Measurable functions -- Lebesgue integration -- The Radon Nikodym theorem -- LP spaces -- Convergence -- Product measures -- Probability theory -- Events and random variables -- Independence -- Expectation -- Conditional expectation -- Inequalities -- Law of large numbers -- Characteristic functions -- Discrete distributions -- Continuous distributions -- Central limit theorems -- Stochastic processes -- Martingales -- Stopping times -- Martingale inequalities -- Martingale convergence theorems -- Random walks -- Poisson processes -- Brownian motions -- Markov processes -- Levy processes -- Stochastic calculus -- The wiener integral -- The it "o" integral -- Extension of it "o" integrals -- Martingale stochastic integrals -- The it o's formula -- Martingale representation theorem -- Change of measure -- Stochastic differential equations -- Libor market models -- Diffusions -- The Feyn Mankac formula -- Stochastic financial models -- Discretetime models -- Blackscholes -- Pathdependent options -- American options -- Instantaneous forward rate models -- References -- List of symbols -- Subject index -- Financial glossary.
9781118831960 (hbk.)
2013034292
Finance--Mathematical models.
Social sciences--Research--Statistical methods.
HG106 / .G36 2014
332.015195 / GAN 2014
Measure, probability, and mathematical finance : a problem oriented approach / Guojun Gan, Chaoqun Ma, Hong Xie. - Hoboken, NJ. : John Wiley & Sons Inc., 2014. - xxiii, 715 p. ; 24 cm.
Includes bibliographical references and index.
Preface -- Measure theory -- Sets and sequences -- Measures -- Extension of measures -- Lebesgue Stieltjee measures -- Measurable functions -- Lebesgue integration -- The Radon Nikodym theorem -- LP spaces -- Convergence -- Product measures -- Probability theory -- Events and random variables -- Independence -- Expectation -- Conditional expectation -- Inequalities -- Law of large numbers -- Characteristic functions -- Discrete distributions -- Continuous distributions -- Central limit theorems -- Stochastic processes -- Martingales -- Stopping times -- Martingale inequalities -- Martingale convergence theorems -- Random walks -- Poisson processes -- Brownian motions -- Markov processes -- Levy processes -- Stochastic calculus -- The wiener integral -- The it "o" integral -- Extension of it "o" integrals -- Martingale stochastic integrals -- The it o's formula -- Martingale representation theorem -- Change of measure -- Stochastic differential equations -- Libor market models -- Diffusions -- The Feyn Mankac formula -- Stochastic financial models -- Discretetime models -- Blackscholes -- Pathdependent options -- American options -- Instantaneous forward rate models -- References -- List of symbols -- Subject index -- Financial glossary.
9781118831960 (hbk.)
2013034292
Finance--Mathematical models.
Social sciences--Research--Statistical methods.
HG106 / .G36 2014
332.015195 / GAN 2014