Elementary Probability Theory

With Stochastic Processes and an Introduction to Mathematical Finance

Kai Lai Chung, Farid AitSahlia

412 pages, parution le 19/03/2003 (4^eme édition)

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Résumé

This book is an introductory textbook on probability theory and its applications. Basic concepts such as probability measure, random variable, distribution, and expectation are 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 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. Its elementary nature and conciseness make this a useful text not only for mathematics majors, but also for students in engineering and the physical, biological, and social sciences.

This 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 rigorous manner. This approach distinguishes this text from others, which are either too advanced mathematically or cover significantly more finance topics at the expense of mathematical rigor.

Contents

Set
Probability
Counting
Random Variables
Conditioning and Independence
Mean, Variance and Transforms
Poisson and Normal Distributions
From Random Walks to Markov Chains
Mean-Variance Pricing Model
Option Pricing Theory

L'auteur - Kai Lai Chung

Stanford University, CA, USA

L'auteur - Farid AitSahlia

DemanTec, Standford, CA, USA

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Kai Lai Chung, Farid AitSahlia
Parution	19/03/2003
Édition	4^eme édition
Nb. de pages	412
Format	16 x 24
Couverture	Relié
Poids	710g
Intérieur	Noir et Blanc
EAN13	9780387955780
ISBN13	978-0-387-95578-0