Probability for Finance

Comentar :
( 13 )
115 pages
Idioma:
 English
This book provides technical support for students in finance.
Éste es un eBook gratuito para estudiantes
Regístrate para tener acceso gratuito
Todos los libros de texto para estudiantes gratis, de por vida. Menos de un 15% de pulicidad
 
30 días de prueba gratis
Suscripciones corporativas gratis durante los primeros30 días, luego $5.99/mo
Últimos agregados
Sobre el autor

Patrick Roger is a professor of Finance at EM Strasbourg Business School, University of Strasbourg. He mainly teaches Derivatives, Investments, Behavioral Finance and taught Financial mathematics for more than 20 years at University Paris-Dauphine. As a member of LaRGE Research Center, he wrote more t...

Description
Content
Reviews

This book provides technical support for students in finance. It reviews the main probabilistic tools used in financial models in a pedagogical way, starting from simple concepts like random variables and tribes and going to more sophisticated ones like conditional expectations and limit theorems. Many illustrations are given, taken from the financial literature. The book is also a prerequisite for “Stochastic Processes for Finance” published in the same collection.

  1. Probability spaces and random variables
    1. Measurable spaces and probability measures
    2. Conditional probability and Bayes theorem
    3. Random variables and probability distributions
  2. Moments of a random variable
    1. Mathematical expectation
    2. Variance and higher moments
    3. The vector space of random variables
    4. Equivalent probabilities and Radon-Nikodym derivatives
    5. Random vectors
  3. Usual probability distributions in financial models
    1. Discrete distributions
    2. Continuous distributions
    3. Some other useful distributions
  4. Conditional expectations and Limit theorems
    1. Conditional expectations
    2. Geometric interpretation in L2 (O, A, P)
    3. Properties of conditional expectations
    4. The law of large numbers and the central limit theorem
  5. Bibliography
Very well written with the right balance between concepts and applications. It is aptly named as probability for finance and is a very good primer for people who want to progress to advanced topics in mathematical finance. There were many gaps in my knowledge acquired during my masters in financial engineering and the author does a good job not only in explaining the concepts but also the need for these mathematical tools. Highly rated.
26 de octubre de 2013, 22:40
More reviews