Financial Calculus: An Introduction to Derivative Pricing

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.

Author: Martin Baxter, Andrew Rennie
Publisher: Cambridge University Press
Published: 09/28/1996
Pages: 244
Binding Type: Hardcover
Weight: 1.27lbs
Size: 9.40h x 6.46w x 0.72d
ISBN13: 9780521552899
ISBN10: 0521552893
BISAC Categories:
- Business & Economics | Economics | General
- Mathematics | Calculus
- Mathematics | Probability & Statistics | General