Financial Calculus: An Introduction to Derivative Pricing

Martin Baxter/ Andrew Rennie

ISBN 10: 0521552893 / ISBN 13: 9780521552899

Published by Cambridge Univ Pr, 1996

About this Item

233 pages. 9.50x6.50x0.50 inches. In Stock.

Seller Inventory # x-0521552893

Bibliographic Details

• Title: Financial Calculus: An Introduction to Derivative Pricing
• Publisher: Cambridge Univ Pr
• Publication Date: 1996
• Language: English
• ISBN 10: 0521552893
• ISBN 13: 9780521552899
• Binding: Hardcover
• Condition: Brand New
• Weight: 0.58 kilograms

About this title

Synopsis

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.

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.