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