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Home > Financial Information Sources > Mathematical Finance > Financial Calculus: An Introduction to Derivative Pricing

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Financial Calculus: An Introduction to Derivative Pricing

Martin Baxter, Andrew Rennie
Cambridge, UK: Cambridge University Press, 1996
233pp, ISBN: 978-0-521-55289-9
www.cambridge.org

One of the most respected treatments in the field, this practical introduction to the pricing of derivatives is an accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. It provides real examples from stock, currency, and interest rate markets, and describes key concepts such as martingales, change of measure, and the Heath–Jarrow–Morton model.

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Financial Calculus: An Introduction to Derivative Pricing

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Product 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.

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