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I wrote this LaTeX file with TexMaker and I don't know why there is no index in the PDF file. Please tell me where I'm wrong.

\author{‎A H‎}
‎%define the title‎
\title{‎Modern Real Analysis‎}‎
‎%generates the title‎
‎%insert the table of contents‎
\chapter{‎Measure Theory‎}
‎In ‎this ‎chapter ‎we ‎introduce ‎new ‎definitions ‎.....‎

\chapter{‎Topologycal Aspects‎}
‎The ‎Riesz ‎Representation ‎Theorem ‎and ‎\index{‎‎Regular ‎Borel ‎measures} ‎are ‎most ‎important ‎things ‎in ‎this ‎chapter‎ ‎....‎

\chapter{‎Lebesgue ‎measure ‎in‎ ‎$\mathbb{R}^{n}$}‎
‎Thi‎s part want generalized ....
‎Page2 :‎ ‎\index{Alpha}‎
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Welcome to TeX.sx! A tip: If you indent lines by 4 spaces, they'll be marked as a code sample. You can also highlight the code and click the "code" button (with "{}" on it). – egreg Nov 23 '12 at 7:48
I think it is probably the mthod you are compiling. You need to run pdflatex followed by makeindex and then pdflatex. I am unable to try your sample MWE as it contains spurious characters that result in compile errors. – Peter Grill Nov 23 '12 at 8:07
up vote 1 down vote accepted

In TeXmaker run Quickbuild, then from the menu Tools->Makeindex, then Quickbuild again. Or press F1, F12, F1.

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