- Joined
- 3/30/11
- Messages
- 2
- Points
- 11
Do you guys have any good recommendations on measure theory? Thanks!
-
C++ Programming for Financial Engineering
Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!Python for Finance with Intro to Data Science
Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!An Intuition-Based Options Primer for FE
Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!
Book Recommendation
- Thread starter backtoschool
- Start date
- Joined
- 11/5/11
- Messages
- 34
- Points
- 18
Classic reading on the subject is "Real and Complex Analysis" by Rudin, first few chapters in particular. In my opinion, relevant chapters from Billingsley's "Probability and Measure" are also worth reading, especially if you need measue theory as a tool for further studies in probability (which might be the case since you're posting this topic on QuantNet instead of e.g. MathOverflow 
).
).
- Joined
- 12/29/11
- Messages
- 168
- Points
- 53
A pretty comprehensive text (or rather texts) is Fremlin's treatise: http://www.essex.ac.uk/maths/people/fremlin/mt.htm
TOC: http://www.essex.ac.uk/maths/people/fremlin/mtcont.htm
You don't need to read it all if, as suggested, you're mostly interested in the probability applications -- but it's sometimes nice to look something up.
That being said, you can go ahead and actually read the early parts of Vol. I (in fact, this entire volume is generally useful, I think, irrespectively of what you need the course for), it introduces the notion (and terminology) of conegligible sets early on (which is often used in probability theory -- without being called by its name but spelled out in full each time, which can get rather tedious).
The books are distributed freely in the TeX and PostScript form (see the first link), if you find PDF more convenient try (just the first two volumes, but that should be quite enough for starters, and perhaps everything you'll ever need to know about MT per se -- Volumes III-V are of more use if you plan to specialize in this field):
Vol. I: http://wiki.math.ntnu.no/_media/tma4225/2011/fremlin-mt1.pdf
Vol. II: http://wiki.math.ntnu.no/_media/tma4225/2011/fremlin-vol2.pdf
TOC: http://www.essex.ac.uk/maths/people/fremlin/mtcont.htm
You don't need to read it all if, as suggested, you're mostly interested in the probability applications -- but it's sometimes nice to look something up.
That being said, you can go ahead and actually read the early parts of Vol. I (in fact, this entire volume is generally useful, I think, irrespectively of what you need the course for), it introduces the notion (and terminology) of conegligible sets early on (which is often used in probability theory -- without being called by its name but spelled out in full each time, which can get rather tedious).
The books are distributed freely in the TeX and PostScript form (see the first link), if you find PDF more convenient try (just the first two volumes, but that should be quite enough for starters, and perhaps everything you'll ever need to know about MT per se -- Volumes III-V are of more use if you plan to specialize in this field):
Vol. I: http://wiki.math.ntnu.no/_media/tma4225/2011/fremlin-mt1.pdf
Vol. II: http://wiki.math.ntnu.no/_media/tma4225/2011/fremlin-vol2.pdf
Similar threads
