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More copies of this ISBN:

Financial Calculus: An Introduction to Derivative Pricing

by Martin Baxter

Financial Calculus: An Introduction to Derivative Pricing Cover

ISBN13: 9780521552899
ISBN10: 0521552893
Condition: Standard
All Product Details

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Synopses & Reviews

Publisher Comments:

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.

Review:

"...a rigorous and accessible account of the probabilistic structure behind the pricing, construction, and hedging of derivative securities....Real examples from stock, currency, and interest rate markets are used. The text also gives a clear view and introduction to modern mathematical finance for probabilists and statisticians." The Journal of the American Statistical Association

Synopsis:

'Modern introduction to mathematics of pricing, construction and hedging of derivative securities.'

Synopsis:

The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data.
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Product Details

ISBN:
9780521552899
Subtitle:
An Introduction to Derivative Pricing
With:
Rennie, Andrew
Author:
Rennie, Andrew J. O.
Author:
Baxter, Martin
Author:
Baxter, Martin W.
Author:
Rennie, Andrew
Publisher:
Cambridge University Press
Location:
Cambridge ;
Subject:
Mathematics
Subject:
Calculus
Subject:
Statistics
Subject:
Applied
Subject:
Economics
Subject:
Derivative securities
Subject:
Derivative securities -- Prices -- Mathematics.
Subject:
Probability & Statistics - General
Subject:
Economics - General
Subject:
Derivative securities--Prices--Mathematics De
Edition Number:
1
Edition Description:
Paperback
Series Volume:
v. 1
Publication Date:
September 1996
Binding:
Hardcover
Grade Level:
Professional and scholarly
Language:
English
Illustrations:
Y
Pages:
243
Dimensions:
9.40x6.46x.72 in. 1.27 lbs.
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