Measure, probability, and mathematical finance: a problem-oriented approach
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2014
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XXIII, 715 S. |
| ISBN: | 9781118831960 |
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MARC
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| 245 | 1 | 0 | |a Measure, probability, and mathematical finance |b a problem-oriented approach |c Guojun Gan ; Chaoqun Ma ; Hong Xie |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2014 | |
| 300 | |a XXIII, 715 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Sozialwissenschaften | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Social sciences |x Research |x Statistical methods | |
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Record in the Search Index
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| adam_text | CONTENTS
Preface
xvii
Financial Glossary
xxii
PART I MEASURE THEORY
1
Sets and Sequences
3
1.1
Basic Concepts and Facts
3
1.2
Problems
6
1.3
Hints
8
1.4
Solutions
8
1.5
Bibliographic Notes
13
2
Measures
15
2.1
Basic Concepts and Facts
15
2.2
Problems
18
2.3
Hints
20
2.4
Solutions
21
vii
VIII CONTENTS
2.5 Bibliographie Notes 28
3
Extension
of Measures
29
3.1
Basic Concepts and Facts
29
3.2
Problems
30
32
32
36
37
37
39
41
41
45
47
47
48
50
51
56
57
57
59
62
64
76
7
The Radon-Nikodym Theorem
77
7.1
Basic Concepts and Facts
77
7.2
Problems
79
7.3
Hints
80
7.4
Solutions
80
7.5
Bibliographic Notes
83
8
V Spaces
85
3.3
Hints
3.4
Solutions
3.5
Bibliographic Notes
Lebesgue-Stieltjes Measures
4.1
Basic Concepts and Facts
4.2
Problems
4.3
Hints
4.4
Solutions
4.5
Bibliographic Notes
Measurable Functions
5.1
Basic Concepts and Facts
5.2
Problems
5.3
Hints
5.4
Solutions
5.5
Bibliographic Notes
Lebesgue Integration
6.1
Basic Concepts and Facts
6.2
Problems
6.3
Hints
6.4
Solutions
6.5
Bibliographic Notes
10
8.1
Basic
Concepts
and Facts
8.2
Problems
8.3
Hints
8.4
Solutions
8.5
Bibliographic Notes
Convergence
9.1
Basic Concepts and Facts
9.2
Problems
9.3
Hints
9.4
Solutions
9.5
Bibliographic Notes
Product Measures
10.1
Basic Concepts and Facts
10.2
Problems
10.3
Hints
10.4
Solutions
10.5
Bibliographic Notes
CONTENTS
IX
85
88
89
90
95
97
97
98
100
1
02
1
11
113
I
13
1
15
1
18
1
18
1
23
PART II PROBABILITY THEORY
11
Events and Random Variables
127
127
130
132
133
139
12
Independence
141
141
142
145
146
159
13
Expectation
161
161
11.1
Basic Concepts and
Facts
11.2
Problems
11.3
Hints
11.4
Solutions
11.5
Bibliographic Notes
Independence
12.1
Basic Concepts and
Facts
12.2
Problems
12.3
Hints
12.4
Solutions
12.5
Bibliographic Notes
Expectation
13.1
Basic Concepts and
Facts
14.2
Problems
14.3
Hints
14.4
Solutions
14.5
Bibliographic Notes
Inequalities
15.1
Basic Concepts and Facts
15.2
Problems
15.3
Hints
15.4
Solutions
15.5
Bibliographic Notes
X CONTENTS
13.2
Problems
163
13.3
Hints
165
13.4
Solutions
166
13.5
Bibliographic Notes
172
14
Conditional Expectation
173
14.1
Basic Concepts and Facts
173
175
178
179
187
15
Inequalities
189
1
89
1
90
191
1
92
J
98
16
Law of Large Numbers
199
16.1
Basic Concepts and Facts
199
200
203
205
215
217
217
218
220
221
226
227
227
228
230
231
16.2
Problems
16.3
Hints
16.4
Solutions
16.5
Bibliographic Notes
17
Characteristic Functions
17.1
Basic Concepts and Facts
17.2
Problems
17.3
Hints
17.4
Solutions
17.5
Bibliographic Notes
18
Discrete Distributions
18.1
Basic Concepts and Facts
18.2
Problems
18.3
Hints
18.4
Solutions
Continuous Distributions
19.1
Basic Concepts and Facts
19.2
Problems
19.3
Hints
19.4
Solutions
19.5
Bibliographic Notes
Central Limit Theorems
20.1
Basic Concepts and Facts
20.2
Problems
20.3
Hints
20.4
Solutions
20.5
Bibliographic Notes
CONTENTS XI
18.5
Bibliographic Notes
237
19
Continuous Distributions
239
239
241
244
246
256
20
Central Limit Theorems
257
257
258
260
261
267
PART III STOCHASTIC PROCESSES
21
Stochastic Processes
271
271
275
278
280
289
22
Martingales
291
291
292
294
295
300
23
Stoppina
Times
301
301
303
305
307
319
21.1
Basic Concepts and Facts
21.2
Problems
21.3
Hints
21.4
Solutions
21.5
Bibliographic Notes
Martingales
22.1
Basic Concepts and Facts
22.2
Problems
22.3
Hints
22.4
Solutions
22.5
Bibliographic Notes
Stopping Times
23.1
Basic Concepts and Facts
23.2
Problems
23.3
Hints
23.4
Solutions
23.5
Bibliographic Notes
ХИ
CONTENTS
24
Martingale
Inequalities
321
24.1
Basic Concepts and Facts
321
322
323
324
331
25
Martingale
Convergence Theorems
333
333
334
336
336
342
26
Random Walks
343
343
344
346
347
355
24.2
Problems
24.3
Hints
24.4
Solutions
24.5
Bibliographic Notes
Martingale Convergence Theorems
25.1
Basic Concepts and Facts
25.2
Problems
25.3
Hints
25.4
Solutions
25.5
Bibliographic Notes
Random Walks
26.1
Basic Concepts and Facts
26.2
Problems
26.3
Hints
26.4
Solutions
26.5
Bibliographic Notes
Poisson
Processes
27.1
Basic Concepts and Facts
27.2
Problems
27.3
Hints
27.4
Solutions
27.5
Bibliographic Notes
Brownian Motion
28.1
Basic Concepts and Facts
28.2
Problems
28.3
Hints
28.4
Solutions
28.5
Bibliographic Notes
Markov Processes
29.1
Basic Concepts and Facts
29.2
Problems
27
Poisson
Processes
357
357
359
361
361
371
28
Brownian Motion
373
373
375
377
378
387
29
Markov Processes
389
389
391
Levy
Processes
30.1
Basic Concepts and Facts
30.2
Problems
30.3
Hints
30.4
Solutions
30.5
Bibliographic Notes
CONTENTS
XIII
29.3
Hints
393
29.4
Solutions
394
29.5
Bibliographic Notes
399
30
Levy Processes
401
401
404
407
408
417
PART IV STOCHASTIC CALCULUS
31
The Wiener Integral
421
3
1
.
1 Basic Concepts and Facts
421
423
424
425
429
32
The
Ito Intearal
431
43
1
433
437
438
452
33
Extension of the
Ito
Intearal
453
453
455
456
457
462
34
Martingale Stochastic Integrals
463
34.1
Basic Concepts and Facts
463
34.2
Problems
468
34.3
Hints
469
31.2
Problems
31.3
Hints
31.4
Solutions
31.5
Bibliographic Notes
The
Ito
Integral
32.1
Basic Concepts and Facts
32.2
Problems
32.3
Hints
32.4
Solutions
32.5
Bibliographic Notes
Extension of the
Ito
Integral
33.1
Basic Concepts and Facts
33.2
Problems
33.3
Hints
33.4
Solutions
33.5
Bibliographic Notes
CONTENTS
34.4
Solutions
34.5
Bibliographic
Notes
The
Ito Formula
35.1
Basic
Concepts and Facts
35.2
Problems
35.3
Hints
35.4
Solutions
35.5
Bibliographic
Notes
Martingale
Representation Theorem
36.1
Basic
Concepts and Facts
36.2
Problems
36.3
Hints
36.4
Solutions
36.5
Bibliographic Notes
xiv
470
475
35
The
Ito
Formula
477
477
481
483
485
494
36
Martingale Representation Theorem
495
495
496
497
498
501
37
Change of Measure
503
37.1
Basic Concepts and Facts
503
504
508
508
513
38
Stochastic Differential Equations
515
38.1
Basic Concepts and Facts
515
517
521
522
530
39
Diffusion
531
531
534
536
537
545
40
The Feynman-Kac Formula
547
37.2
Problems
37.3
Hints
37.4
Solutions
37.5
Bibliographic Notes
38.2
Problems
38.3
Hints
38.4
Solutions
38.5
Bibliographic Notes
Diffusion
39.1
Basic Concepts and Facts
39.2
Problems
39.3
Hints
39.4
Solutions
39.5
Bibliographic Notes
41.1
Basic Concepts and Facts
41.2
Problems
41.3
Hints
41.4
Solutions
41.5
Bibliographic Notes
CONTENTS XV
40.1
Basic Concepts and Facts
547
40.2
Problems
549
40.3
Hints
551
40.4
Solutions
552
40.5
Bibliographic Notes
557
PART V STOCHASTIC FINANCIAL MODELS
41
Discrete-Time Models
561
561
565
568
569
576
42
Black-Scholes Option Pricing Models
579
42.1
Basic Concepts and Facts
579
583
585
586
591
43
Path-Dependent Options
593
593
598
600
601
608
44
American Options
609
44.
1 Basic Concepts and Facts
609
44.2
Problems
613
44.3
Hints
616
44.4
Solutions
617
44.5
Bibliographic Notes
626
45
Short Rate Models
629
45.1
Basic Concepts and Facts
629
42.2
Problems
42.3
Hints
42.4
Solutions
42.5
Bibliographic Notes
Path-Dependent Options
43.1
Basic Concepts and Facts
43.2
Problems
43.3
Hints
43.4
Solutions
43.5
Bibliographic Notes
XVI CONTENTS
45.2 Problems 631
45.3
Hints
635
45.4 Solutions 635
45.5 Bibliographie Notes 644
46
Instantaneous Forward
Rate Models 647
46.1 Basic
Concepts and Facts
647
46.2 Problems 650
46.3
Hints
654
46.4 Solutions 654
46.5 Bibliographie Notes 665
47
LIBOR
Market Models 667
47.1 Basic
Concepts and Facts
667
47.2 Problems 668
47.3
Hints
672
47.4 Solutions 673
47.5 Bibliographie Notes 685
References
687
List oi Symbols 703
Subject
Index 707
|
| any_adam_object | 1 |
| author | Gan, Guojun 1979- Ma, Chaoqun Xie, Hong |
| author_GND | (DE-588)142575968 (DE-588)1023532875 (DE-588)1052112781 |
| author_facet | Gan, Guojun 1979- Ma, Chaoqun Xie, Hong |
| author_role | aut aut aut |
| author_sort | Gan, Guojun 1979- |
| author_variant | g g gg c m cm h x hx |
| building | Verbundindex |
| bvnumber | BV041954807 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106 |
| callnumber-search | HG106 |
| callnumber-sort | HG 3106 |
| callnumber-subject | HG - Finance |
| classification_rvk | QH 100 |
| ctrlnum | (OCoLC)884728509 (DE-599)BVBBV041954807 |
| dewey-full | 332.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5195 |
| dewey-search | 332.01/5195 |
| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV041954807 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:09:07Z |
| institution | BVB |
| isbn | 9781118831960 |
| language | English |
| lccn | 013034292 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027397707 |
| oclc_num | 884728509 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-355 DE-BY-UBR |
| owner_facet | DE-19 DE-BY-UBM DE-355 DE-BY-UBR |
| physical | XXIII, 715 S. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Wiley |
| record_format | marc |
| spelling | Gan, Guojun 1979- Verfasser (DE-588)142575968 aut Measure, probability, and mathematical finance a problem-oriented approach Guojun Gan ; Chaoqun Ma ; Hong Xie Hoboken, NJ Wiley 2014 XXIII, 715 S. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Mathematisches Modell Sozialwissenschaften Finance Mathematical models Social sciences Research Statistical methods Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Wahrscheinlichkeitsverteilung (DE-588)4121894-2 gnd rswk-swf Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd rswk-swf Black-Scholes-Modell (DE-588)4206283-4 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Wirtschaftsmathematik (DE-588)4066472-7 s Wahrscheinlichkeitsverteilung (DE-588)4121894-2 s Wahrscheinlichkeitsrechnung (DE-588)4064324-4 s Stochastischer Prozess (DE-588)4057630-9 s Optionspreistheorie (DE-588)4135346-8 s Black-Scholes-Modell (DE-588)4206283-4 s b DE-604 Ma, Chaoqun Verfasser (DE-588)1023532875 aut Xie, Hong Verfasser (DE-588)1052112781 aut Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027397707&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gan, Guojun 1979- Ma, Chaoqun Xie, Hong Measure, probability, and mathematical finance a problem-oriented approach Mathematisches Modell Sozialwissenschaften Finance Mathematical models Social sciences Research Statistical methods Wirtschaftsmathematik (DE-588)4066472-7 gnd Wahrscheinlichkeitsverteilung (DE-588)4121894-2 gnd Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4066472-7 (DE-588)4121894-2 (DE-588)4064324-4 (DE-588)4206283-4 (DE-588)4057630-9 (DE-588)4135346-8 |
| title | Measure, probability, and mathematical finance a problem-oriented approach |
| title_auth | Measure, probability, and mathematical finance a problem-oriented approach |
| title_exact_search | Measure, probability, and mathematical finance a problem-oriented approach |
| title_full | Measure, probability, and mathematical finance a problem-oriented approach Guojun Gan ; Chaoqun Ma ; Hong Xie |
| title_fullStr | Measure, probability, and mathematical finance a problem-oriented approach Guojun Gan ; Chaoqun Ma ; Hong Xie |
| title_full_unstemmed | Measure, probability, and mathematical finance a problem-oriented approach Guojun Gan ; Chaoqun Ma ; Hong Xie |
| title_short | Measure, probability, and mathematical finance |
| title_sort | measure probability and mathematical finance a problem oriented approach |
| title_sub | a problem-oriented approach |
| topic | Mathematisches Modell Sozialwissenschaften Finance Mathematical models Social sciences Research Statistical methods Wirtschaftsmathematik (DE-588)4066472-7 gnd Wahrscheinlichkeitsverteilung (DE-588)4121894-2 gnd Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Mathematisches Modell Sozialwissenschaften Finance Mathematical models Social sciences Research Statistical methods Wirtschaftsmathematik Wahrscheinlichkeitsverteilung Wahrscheinlichkeitsrechnung Black-Scholes-Modell Stochastischer Prozess Optionspreistheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027397707&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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