Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Financial Calculus. The website of Financial Calculus: an introduction to derivative pricing. This book has been written by Martin Baxter and Andrew Rennie, and. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a.
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Hans-peter rated it it was amazing Aug 08, Lists with This Book. 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 baster concepts as martingales, change of measure, and the Heath-Jarrow-Morton model.
Financial Calculus by Martin Baxter
One strength of Financial Calculus is that, while it is rigorous and the approach is quite abstract — it assumes familiarity with calculus and a general competence with formal mathematics — concrete worked examples are used to anchor the theory and assist intuition. More interestingly, chapter six extends the basic model: The only evidence provided is a comparison of two small and vaguely similar graphs, one of the UK FTA index from to and the other generated using exponential Brownian motion.
Gleb rated it it was amazing Financal 23, Keelhaul rated it really liked it Jan 02, Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality. Preview — Financial Calculus by Martin Baxter.
Misha rated it really liked it Jan 29, This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective-expected utility theory and pricing via equivalent martingale measures. This is concise without being terse, clear, and comprehensive. And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness.
Unfortunately, this isn’t self-contained, and readers will need to consult other sources to get a full rigorous introduction to the topics of measure theory, martingale theory, and rigorous probability theory.
Want to Read Currently Reading Read. Thanks for telling us about the problem. Simon Thornington rated it it was amazing Sep 07, No trivia or quizzes yet.
This is a very nice, reasonably concise little monograph. John rated it really liked it Aug 15, Mijrelax rated it it was amazing Jan 26, Piotr rated it it was amazing Jun 13, To see what your friends thought of this book, please sign up.
Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background. Return to Book Page. Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings.
Just a moment while we sign you financila to your Goodreads account. The approach is based around martingales, or processes whose expected future value, given the past history, is finanical same as the current value. To ask other readers questions about Financial Calculusplease sign up. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a range of different financial instruments.
Paradoxically, I also worry about the very elegance and rigour of the results in Financial Calculus.
Beginning with the discrete case, chapter two introduces a simple binomial tree model. Jan rated it liked it Dec 30, Minhao Gu rated it it was amazing Mar 09, Alexander rated it liked it Mar 19, This book is not yet featured on Listopia. Chan-Ho rated it really liked it Apr 09, This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet caluclus.
For example, in the chapter that introduces the binomial asset pricing model, the authors describe filtrations as being the history of the price process up to a given point in time. The real value of this book lies in how successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: Ricardo rated it it was amazing Oct 10, Sam Nazari rated it liked it Jan 18, Radha rated it it was amazing Apr 05,