Financial Calculus: An Introduction to Derivative Pricing

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9780521552899: Financial Calculus: An Introduction to Derivative Pricing

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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Book Description:

Here is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts are described with mathematical precision in a style tailored for market practitioners. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations. A full glossary of probabilistic and financial terms is provided.This up-to-date book will be 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.

Review:

"...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

"This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering."
riskbook.com

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Baxter, Martin; Rennie, Andrew
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Book Description CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2015. Hardback. Book Condition: New. 17th ed.. Language: English . Brand New Book. 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. Bookseller Inventory # AAZ9780521552899

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Martin W. Baxter, Andrew J. O. Rennie
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Book Description CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2015. Hardback. Book Condition: New. 17th ed.. Language: English . Brand New Book. 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. Bookseller Inventory # AAZ9780521552899

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Book Description Cambridge University Press, 1996. Book Condition: New. 1996. 1st Edition. Hardcover. A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities. Num Pages: 244 pages, 41 b/w illus. 9 tables 23 exercises. BIC Classification: KFF; PBT. Category: (P) Professional & Vocational. Dimension: 241 x 159 x 17. Weight in Grams: 548. An Introduction to Derivative Pricing. 244 pages, 41 b/w illus. 9 tables 23 exercises. Modern introduction to mathematics of pricing, construction and hedging of derivative securities. Cateogry: (P) Professional & Vocational. BIC Classification: KFF; PBT. Dimension: 241 x 159 x 17. Weight: 560. . . . . . . Bookseller Inventory # V9780521552899

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Book Description Cambridge University Press. Book Condition: New. 1996. 1st Edition. Hardcover. A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities. Num Pages: 244 pages, 41 b/w illus. 9 tables 23 exercises. BIC Classification: KFF; PBT. Category: (P) Professional & Vocational. Dimension: 241 x 159 x 17. Weight in Grams: 548. An Introduction to Derivative Pricing. 244 pages, 41 b/w illus. 9 tables 23 exercises. Modern introduction to mathematics of pricing, construction and hedging of derivative securities. Cateogry: (P) Professional & Vocational. BIC Classification: KFF; PBT. Dimension: 241 x 159 x 17. Weight: 560. . . . . . Books ship from the US and Ireland. Bookseller Inventory # V9780521552899

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