Foundations of Quantitative Finance: Book V General Measure and Integration Theory

Every finance professional wants and needs a competitive edge. A firm foundation in advanced mathematics can translate into dramatic advantages to professionals willing to obtain it. Many are not-and that is the competitive edge these books offer the astute reader.

Autorentext

Robert R. Reitano is Professor of the Practice in Finance at the Brandeis International Business School where he specializes in risk management and quantitative finance, and where he previously served as MSF Program Director, and Senior Academic Director. He has a Ph.D. in Mathematics from MIT, is a Fellow of the Society of Actuaries, and a Chartered Enterprise Risk Analyst. He has taught as Visiting Professor at Wuhan University of Technology School of Economics, Reykjavik University School of Business, and as Adjunct Professor in Boston University's Masters Degree program in Mathematical Finance. Dr. Reitano consults in investment strategy and asset/liability risk management, was Chief Investment Officer of Controlled Risk Insurance Company (CRICO), and previously had a 29-year career at John Hancock/Manulife in investment strategy and asset/liability management, advancing to Executive Vice President & Chief Investment Strategist. His research papers have appeared in a number of journals and have won an Annual Prize of the Society of Actuaries and two F.M. Redington Prizes awarded biennially by the Investment Section of the Society of the Actuaries. Dr. Reitano has served as Vice-Chair of the Board of Directors of the Professional Risk Managers International Association (PRMIA) and on the Executive Committee of the PRMIA Board, and is currently a member of the PRMIA Boston Steering Committee, the Financial Research Committee of the Society of Actuaries, and other not-for-profit boards and investment committees.

Inhalt

1. Measure Spaces. 2. Measurable Functions. 3. General Integration Theory. 4. Change of Variables. 5. Integrals in Product Spaces. 6. Two Applications of Fubini/Tonelli. 7. The Fourier Transform. 8. General Measure Relationships. 9. The Lp Spaces.