Measure, probability, and mathematical finance : a problem-oriented approach / Guojun Gan, Chaoqun Ma, Hong Xie.
Material type: TextLanguage: English Publisher: Hoboken, New Jersey : Wiley, c2014Description: xxiii, 715 pages ; 25 cmContent type:- text
- unmediated
- volume
- 9781118831960 (cloth)
- HG106 .G36 2014
Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
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المكتبة الرئيسية الطابق الثالث أ | HG106.G36 2014 (Browse shelf(Opens below)) | 1 | Available | 0090000132139 |
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HG104.L67 2018 Advances in financial machine learning | HG106.B747 2013 Counterparty credit risk, collateral and funding : with pricing cases for all asset classes | HG106.C66 2004 Financial modelling with jump processes | HG106.G36 2014 Measure, probability, and mathematical finance : a problem-oriented approach / | HG106.M39 2018 A first course in quantitative finance / | HG106.M86 2008 Advanced analytical models : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond | HG106.X45 2010 ARCH models for financial applications / |
Includes bibliographical references (p.687-702) 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.
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