Financial Calculus: An Introduction To Derivative Pricing
Financial Calculus: An Introduction To Derivative Pricing
Financial Calculus: An Introduction To Derivative Pricing

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Financial Calculus: An Introduction To Derivative Pricing

  • Publish Date: 1996-09-28
  • Binding: Hardcover
  • Author: Martin Baxter;Andrew Rennie
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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.

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