Financial Calculus: An Introduction to Derivative Pricing
Martin Baxter, Andrew Rennie, "Financial Calculus: An Introduction to Derivative Pricing"
English | 1996-09-28 | ISBN: 0521552893 | 241 pages | PDF + DJVU | 8.7 + 1.7 mb
English | 1996-09-28 | ISBN: 0521552893 | 241 pages | PDF + DJVU | 8.7 + 1.7 mb
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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