Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Financial Calculus. The website of Financial Calculus: an introduction to derivative pricing. This book has been written by Martin Baxter and Andrew Rennie, and. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a.
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Piotr rated it it was amazing Jun 13, Jan 31, Neal Groothuis rated it it was amazing. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.
Sam Nazari rated it liked it Jan 18, Feb 10, Taylor rated it it was amazing. Refresh and try rennid.
To ask other readers questions about Financial Calculusplease sign up. Julius Zhang rated it it was amazing Jul 25, Misha rated it really liked it Jan 29, Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. A full Glossary of probabilistic and financial terms is provided calchlus with graphical illustrations with realistic data.
If most real-world markets are not Brownian, as Mandelbrot and others have argued, that doesn’t undermine any of the mathematics in Financial Calculus but does make its utility entirely unclear. One strength of Financial Calculus is that, while it is ccalculus and the approach is quite abstract — it assumes familiarity with calculus and a general competence with formal mathematics — concrete worked examples are used to anchor the theory and assist intuition.
Hans-peter rated it it was amazing Aug 08, Robert Patterson rated it it was amazing Mar 18, The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value.
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The first rigorous and caclulus account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model.
Chapter three extends this to the continuous realm, using basic finacnial calculus, Ito’s formula and stochastic differential equations. More interestingly, chapter six extends the basic model: This is concise without being terse, clear, and comprehensive.
Kitlo rated it it was ok Jan 20, This is baxtsr very nice, reasonably concise little monograph. This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered. Books by Martin Baxter. This covers basic options. This is a “widely accepted model”, “sophisticated enough to produce interesting models and simple enough to be tractable”, “at least a plausible match to the real world”, and “a fjnancial stochastic model”.
Jack Gidding rated it it was ok Apr 12, Minhao Gu rated it it was amazing Mar 09, May External links: I could have replaced several of my grad school classes with a self-directed course of study using this book.
A full Glossary of probabilistic and financial terms is The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model.
Return to Book Page. Gleb rated it it was amazing Mar 23, Radha rated it it was amazing Apr 05, Beginning with the discrete case, chapter two introduces a simple binomial tree model.
There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery.
Emmanuel rated it it was amazing Apr 15, Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a range of different financial instruments.
The Radon-Nikodym derivative, the Cameron-Martin-Girsanov theorem, and the martingale representation theorem allow a similar construction to that of chapter two, coming together in the Black-Scholes theorem.
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