Ebook Download | Measure, Integral and Probability, 2nd edition | This book is, as it were, manna from heaven for the aspiring financial mathematician, especially someone without a first degree in mathematics or a mathematically-based subject. The only prerequisites are a very good understanding of set-theory and some knowledge of the theory of continuous functions (at the level of a first course in real analysis, e.g. Apostol's Mathematical Analysis). The development is patient and there is sufficient help for the beginner (full solutions at the back, and, for practice, unproved propositions in the text with proofs at chapter-ends). The coverage is not overwhelming and anyone with the requisite preparation can digest the book in a term's work. Measure theory on its own is an incredibly dry subject. The authors do a great job of covering the essentials in about 300 pages, while making the subject interesting and applicable at the same time. A very attractive feature of the book is its brief focus on mathematical-finance applications. Most chapters end with a small section on such applications which is very useful for someone simultaneously studying mathematical finance. Particularly, it shows how to conceptualize financial models measure-theoretically. A very useful little volume indeed!
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