Elementary probability theory with stochastic processes and an introduction to mathematical finance undergraduate texts in mathematics
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CramĂ©r, On the mathematical theory of risk, Skandia Jubilee volume, Stockholm, 1930. This book is one of the greatest probability book I have ever seen. Both the discrete and continuous cases are covered, the elements of calculus being used in the latter case. Two concluding chapters on mathematical finance have been added to the eight chapters in the third edition by the second author. They begin with an account of the financial vocabulary, which is then expounded in probabilistic terms. Problems with solutions are provided at the end of each chapter.

. With stochastic processes and an introduction to mathematical finance. It includes material related to mathematical finance as well as expansions on stable laws and martingales. The emphasis is on essential probabilistic reasoning, which is illustrated with a large number of samples. 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.

Basic concepts such as probability measure, random variable, distribution, and expectation are fully treated without technical complications. It eclipsed the theories of other mathematicians in the previous 200 years. Reprinted from the Jubilee Volume of FĂ¶rsĂ¤kringsaktiebolaget Skandia. HernĂˇndez-HernĂˇndez, A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains, Ann. Students liked the many interesting, real-life examples in the book.

The Chebyshev's theorem was new to me and to all the people I mentioned this to. From United Kingdom to U. As a professor in computer science, I am teaching a seminar course in which I wanted to cover basic probability theory in a week. The underlying Markov process has a denumerable number of states. About this Item: Springer-Verlag New York Inc. May show signs of minor shelf wear and contain limited notes and highlighting. Pages and cover are clean and intact.

Series: Undergraduate Texts in Mathematics. In the last section, an application of the proposed models is presented using real data obtained by merging databases of two small insurance companies. In addition, I taught the two proofs for the law of large numbers. CramĂ©r, Collective risk theory, Skandia Jubilee volume, Stockholm, 1955. Manca, Discrete-time Markov reward processes a motor car insurance example, Technology and Investment 1 2010 , 135-142. Attuari 11 1940 , 1â€”88 Italian. Meyn, Risk-sensitive optimal control for Markov decision processes with monotone cost, Math.

This book emphasises on essential probabilistic reasoning, which is illustrated with samples. Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton, 2005. My class never quite finished it, but I had no trouble reading the later chapters on my own. From United Kingdom to U. This book is a bad introduction to mathematical probability theory.

The second one from Chebyshev was more powerful applies to non-identical distributions , stronger guaratees the speed of convergence , simpler and shorter half a page with no need of mathematical analysis. Manca, Discrete-time Markov reward processes a motor car insurance example, Technology and Investment 1 2010 , 135-142. It was the only math textbook that I really struggled with. About this Item: Springer-Verlag New York Inc. The new chapters share the friendly yet rigorous style of the former ones. The emphasis is on essential probabilistic reasoning, which is illustrated with a large number of samples.

It includes material related to mathematical finance as well as expansions on stable laws and martingales. Kai Lai Chung is Professor Emeritus of Mathematics at Stanford University. About this Item: New York. They are written by Dr. Comment: The item is in a good condition with signs of wear, but works perfectly well. From the reviews: 'Almost thirty years after its first edition, this charming book continues to be an excellent text for teaching and for self study.

Part of that was probably due to having an inordinately lousy professor, but part of it is because the book reads more like a quick review for people who already know the subject matter than as an actual tool for learning. I just read the review by another reader, I would say unfortunately he was wrong. Book is in Used-Good condition. The text is aimed at undergraduate mathematics students and is accessible to a general audience. Lundberg, Approximerad framstallning av sannolikhetsfunktionen. Series: Undergraduate Texts in Mathematics.

Author: Kai Lai Chung; Farid AitSahlia Publisher: New York : Springer, Â©2003. Gives an introduction to probability theory and its applications. About this Item: Springer, 2006. Lundberg, On the theory of reinsurance 1909 , History of Actuarial Science, vol. Manca, Discrete-time homogeneous Markov processes for the study of the basic risk processes, Methodol.