Financial Calculus: An Introduction to Derivative Pricing

Type

Book

Authors

Martin Baxter

Andrew Rennie

ISBN 10

0521552893

ISBN 13

9780521552899

Tags

Economics, Corporate Finance, Accounting, Probability & Statistics, Calculus, Statistics

Description

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. - from Amzon

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