Asia Pacific University Library catalogue


Measure, probability, and mathematical finance : a problem oriented approach / Guojun Gan, Chaoqun Ma, Hong Xie.

By: Gan, Guojun, 1979-Contributor(s): Ma, Chaoqun | Xie, HongMaterial type: TextTextPublication details: Hoboken, NJ. : John Wiley & Sons Inc., 2014Description: xxiii, 715 p. ; 24 cmISBN: 9781118831960 (hbk.)Subject(s): Finance -- Mathematical models | Social sciences -- Research -- Statistical methodsAdditional physical formats: Online version:: Measure, probability, and mathematical financeDDC classification: 332.015195 LOC classification: HG106 | .G36 2014
Contents:
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.
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Item type Current library Collection Call number Copy number Status Date due Barcode
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Open Shelf 		Book HG106 .G36 2014 c.1 (Browse shelf (Opens below)) 1 Available (No use restrictions) 00011551
General Circulation General Circulation APU Library
Open Shelf 		Book HG106 .G36 2014 c.2 (Browse shelf (Opens below)) 2 Available (No use restrictions) 00011570

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.

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