Financial calculus : an introduction to derivative pricing / Martin Baxter, Andrew Rennie.

Format:

Book

Author/Creator:

Baxter, Martin, 1968- author.

Rennie, Andrew, 1968- author.

Language:

English

Subjects (All):

Derivative securities--Prices--Mathematics.

Derivative securities.

Physical Description:

1 online resource (ix, 233 pages) : digital, PDF file(s).

Place of Publication:

Cambridge : Cambridge University Press, 1996.

Summary:

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.

Contents:

The parable of the bookmaker

Chapter 1 - Introduction

Chapter 2 - Discrete processes

Chapter 3 - Continuous processes

Chapter 4 - Pricing market securities

Chapter 5 - Interest rates

Chapter 6 - Bigger models

Appendices

A1 - Further reading

A2 - Notation

A3 - Answers to exercises

A4 - Glossary of technical terms

Index.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

ISBN:

1-316-08487-6

1-139-63833-5

0-511-80663-9

1-139-64878-0

1-139-63618-9

1-139-64117-4