Financial Calculus: An Introduction to Derivative Pricing
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Short 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... Read more
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.
- Martin W. Baxter
- Andrew J. O. Rennie
- Cambridge University Press
- Publication date
- Sep 19, 1996
- Product dimensions
- 159 x 239 x 21mm
The parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.