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Financial Calculus : An Introduction to Derivative Pricing - Martin W. Baxter

Financial Calculus

An Introduction to Derivative Pricing

Hardcover Published: 19th September 1996
ISBN: 9780521552899
Number Of Pages: 244

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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, modern and up-to-date book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.

Industry Reviews

'... a very readable and useful introduction to the pricing of derivatives ... A recommendable book.' Wil Schilders, ITW Nieuws '... the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathematique

The parable of the bookmaker
Introduction
Discrete processes
Continuous processes
Pricing market securities
Interest rates
Bigger models
Further reading
Notation
Answers to exercises
Glossary of technical terms
Index
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521552899
ISBN-10: 0521552893
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 244
Published: 19th September 1996
Publisher: CAMBRIDGE UNIV PR
Country of Publication: GB
Dimensions (cm): 23.88 x 16.41  x 1.83
Weight (kg): 0.58
Edition Number: 17

Earn 272 Qantas Points
on this Book