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    Financial Calculus: An Introduction to Derivative Pricing (Hardback) By (author) Martin W. Baxter, By (author) Andrew J.O. Rennie

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    DescriptionThe 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, modern and 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.


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  • Full bibliographic data for Financial Calculus

    Title
    Financial Calculus
    Subtitle
    An Introduction to Derivative Pricing
    Authors and contributors
    By (author) Martin W. Baxter, By (author) Andrew J.O. Rennie
    Physical properties
    Format: Hardback
    Number of pages: 244
    Width: 160 mm
    Height: 236 mm
    Thickness: 18 mm
    Weight: 567 g
    Language
    English
    ISBN
    ISBN 13: 9780521552899
    ISBN 10: 0521552893
    Classifications

    BIC E4L: MAT
    Nielsen BookScan Product Class 3: S7.8
    B&T Book Type: NF
    B&T Modifier: Region of Publication: 03
    B&T Modifier: Academic Level: 01
    BIC subject category V2: KFF, PBT
    B&T General Subject: 710
    Warengruppen-Systematik des deutschen Buchhandels: 16200
    Ingram Subject Code: MA
    B&T Modifier: Text Format: 06
    BISAC V2.8: BUS069000, MAT029000
    B&T Approval Code: A47500000
    BISAC V2.8: MAT005000
    B&T Merchandise Category: UP
    BISAC V2.8: MAT003000
    DC22: 332.63221, 332.63/221
    LC subject heading:
    LC classification: HG6024.A3 B39 1996
    LC subject heading:
    DC20: 519.5024332
    LC subject heading:
    Thema V1.0: PBT, KFF
    Edition
    17
    Edition statement
    17th New ed.
    Illustrations note
    41 b/w illus. 9 tables 23 exercises
    Publisher
    CAMBRIDGE UNIVERSITY PRESS
    Imprint name
    CAMBRIDGE UNIVERSITY PRESS
    Publication date
    28 September 1996
    Publication City/Country
    Cambridge
    Review quote
    '... 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 Mathematique
    Table of contents
    The 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.