00000cam a22000004i 4500 UP-99796217611694005 Buklod 20150722152829.0 a r |||| u| ta 131023s2014 nju rb |001 0|eng d 9781118831960 (iLib)UPD-00246510920 DLC DIM rda eng HG 106 G86 2014 Gan, Guojun 1979- author Measure, probability, and mathematical finance a problem-oriented approach Guojun Gan, Chaoqun Ma, Hong Xie. Hoboken, New Jersey Wiley [2014] xxiii, 715 pages 25 cm text rdacontent unmediated rdamedia volume rdacarrier Includes bibliographical references and indexes. 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. Finance Mathematical models. Social sciences Research Statistical methods. Ma, Chaoqun author. Xie, Hong author. FO. UPD DECON HG 106 G86 2014 UPD DIM HG106 .G86 2014 Book