Elementary probability theory
with stochastic processes and an introduction to mathematical finance
- ISBN: 9780387955780
- Editorial: Springer Verlag Gmbh & Co. Kg
- Fecha de la edición: 2003
- Lugar de la edición: New York. Estados Unidos de Norteamérica
- Edición número: 4th ed
- Colección: Undergraduate texts in mathematics
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 402
- Idiomas: Inglés
An introductory textbook on probability theory and its applications. The text examines basic concepts such as probability measure, random variable, distribution and expectation, fully treated without technical complications. Both the discrete and continuous cases are covered, but only the elements of calculus are used in the latter case. The emphasis of the book is on essential probabilistic reasoning, amply motivated, explained and illustrated with a large number of carefully selected samples. Special topics include: combinatorial problems, urn schemes, Poisson processes, random walks, and Markov chains. Problems and solutions are provided at the end of each chapter. This fourth edition adds two chapters covering introductory material on mathematical finance as well as expansions on stable laws and martingales. Foundational elements of modern portfolio and option pricing theories are presented in a detailed and rigourous manner.
