Preliminaries from Probability Theory

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 1 in A Benchmark Approach to Quantitative Finance, 2006, pp 1-53 from Springer

Abstract: Abstract This chapter reviews some important results from probability theory and fixes notation. First we introduce discrete and continuous random variables and their distributions. Then we discuss functionals of random variables such as moments. Furthermore, we introduce certain classes of distributions and also multivariate distributions together with copulas.

Date: 2006
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DOI: 10.1007/978-3-540-47856-0_1

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