Peter Whittle: Probability via Expectation

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Cover: 9780387989556 | Probability via Expectation | Peter Whittle | Buch | xxi | Englisch

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Sprache: Englisch

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Beschreibung

The third edition of 1992 constituted a major reworking of the original text, and the preface to that edition still represents my position on the issues that stimulated me first to write. The present edition contains a number of minor modifications and corrections, but its principal innovation is the addition of material on dynamic programming, optimal allocation, option pricing and large deviations. These are substantial topics, but ones into which one can gain an insight with less labour than is generally thought. They all involve the expectation concept in an essential fashion, even the treatment of option pricing, which seems initially to forswear expectation in favour of an arbitrage criterion. I am grateful to readers and to Springer-Verlag for their continuing interest in the approach taken in this work. Peter Whittle Preface to the Third Edition This book is a complete revision of the earlier work Probability which appeared in 1970. While revised so radically and incorporatingso much new material as to amount to a new text, it preserves both the aim and the approach of the original. That aim was stated as the provision of a 'first text in probability, demanding a reasonable but not extensive knowledge of mathematics, and taking the reader to what one might describe as a good intermediate level' . In doing so it attempted to break away from stereotyped applications, and consider applications of a more novel and significant character.

Zusammenfassung

This book will provide a background in probability theory for those wishing to work in the area of mathematical finance.

Inhaltsverzeichnis

Uncertainty, Intuition and Expectation.- Expectation.- Probability.- Some Basic Models.- Conditioning.- Applications of the Independence Concept.- The Two Basic Limit Theorems.- Continuous Random Variables and Their Transformations.- Markov Processes in Discrete Time.- Markov Processes in Continuous Time.- Action Optimisation: Dynamic Programming.- Optimal Resource Allocation.- Finance: Option Pricing and the Implied Martingale.- Second-Order Theory.- Consistency and Extension: The Finite-Dimensional Case.- Stochastic Convergence.- Martingales.- Extension: Examples of the Infinite-Dimensional Case.- Large-Deviation Theory.- Quantum Mechanics.

Erscheinungsjahr:	2000
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Seiten:	380
Reihe:	Springer Texts in Statistics
Inhalt:	xxi 353 S. 22 Fotos
ISBN-13:	9780387989556
ISBN-10:	0387989552
Sprache:	Englisch
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Whittle, Peter
Auflage:	4th ed. 2000
Hersteller:	Springer New York Springer US, New York, N.Y. Springer Texts in Statistics
Maße:	241 x 160 x 25 mm
Von/Mit:	Peter Whittle
Erscheinungsdatum:	20.04.2000
Gewicht:	0,735 kg

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