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Financial Calculus : An Introduction to Derivative Pricing by Andrew J. O. Rennie and Martin W. Baxter (1996, Hardcover)
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- Buy It NowFINANCIAL CALCULUS BY MARTIN BAXTER 2014
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About this product
Product Identifiers
PublisherCambridge University Press
ISBN-100521552893
ISBN-139780521552899
eBay Product ID (ePID)127410533
Product Key Features
Number of Pages244 Pages
Publication NameFinancial Calculus : an Introduction to Derivative Pricing
LanguageEnglish
SubjectCalculus, Applied
Publication Year1996
TypeTextbook
Subject AreaMathematics
AuthorAndrew J. O. Rennie, Martin W. Baxter
FormatHardcover
Dimensions
Item Height0.7 in
Item Weight20 Oz
Item Length9.4 in
Item Width6.5 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN96-009219
Dewey Edition20
Reviews‘… a very readable and useful introduction to the pricing of derivatives … A recommendable book.’Wil Schilders, ITW Nieuws, '… a very readable and useful introduction to the pricing of derivatives … A recommendable book.' Wil Schilders, ITW Nieuws, '... the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Math matique, "This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering." riskbook.com, '… the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathmatique, ‘… the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.’L’Enseignement Mathématique, '... the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathématique, "...a rigorous and accessible account of the probabilistic structure behind the pricing, construction, and hedging of derivative securities....Real examples from stock, currency, and interest rate markets are used. The text also gives a clear view and introduction to modern mathematical finance for probabilists and statisticians." The Journal of the American Statistical Association, '... a very readable and useful introduction to the pricing of derivatives ... A recommendable book.' Wil Schilders, ITW Nieuws
IllustratedYes
Dewey Decimal332.63222
Table Of ContentThe parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.
SynopsisHere is a rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. An essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world., The rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including Black-Scholes) are developed. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and financial terms is provided. This unique book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders., Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.
LC Classification NumberHG6024.A3 B39 1996
