BAXTER RENNIE FINANCIAL CALCULUS PDF

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Goodreads helps you keep track of books you want to read. Want to Read saving…. Want to Read Currently Reading Read. Other editions. Enlarge cover. Error rating book. Refresh and try again. Open Preview See a Problem? Details if other :. Thanks for telling us about the problem. Return to Book Page. Preview — Financial Calculus by Martin Baxter. Financial Calculus by Martin Baxter ,.

Andrew Rennie. 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 key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model. A full Glossary of probabilistic and financial terms is 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 key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model.

A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data. Get A Copy. Hardcover , pages.

Published September 19th by Cambridge University Press. More Details Original Title. Other Editions 4. Friend Reviews.

To see what your friends thought of this book, please sign up. To ask other readers questions about Financial Calculus , please sign up. Lists with This Book. Community Reviews. Showing Average rating 4. Rating details. Sort order. Start your review of Financial Calculus. Sep 05, Austin rated it liked it Shelves: finance , non-fiction.

This is a very nice, reasonably concise little monograph. While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing. Honestly, while I didn't love this book, it should still be considered a must-read simply because of the paucity of better offerings.

Feb 10, Taylor rated it it was amazing. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I've yet encountered. 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: equivalent martingale measures, Ito Calculus, and so on. 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 encountered.

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.

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. Without a proper background to these topics, certain intuitive statements made in this book can be misleading.

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. While this is true for a simple binomial model, in continuous time filtrations have a much more subtle nature -- this is where a suitable background in measure theory comes in handy. Apr 04, Jeremy Lo rated it really liked it Shelves: textbook-finance.

A concise introduction to asset pricing by equivalent martingale measures. Although not necessary, some background understanding in Black-Scholes via PDE method would be helpful. The book focuses on motivating the use of key concepts and developing a good "intuition" on why risk-neutral pricing works, rather than a rigorous mathematical derivation - a good place to start for students. Jan 31, Neal Groothuis rated it it was amazing.

This is concise without being terse, clear, and comprehensive. I could have replaced several of my grad school classes with a self-directed course of study using this book. And, retrospectively, I probably should have. There are no discussion topics on this book yet. Readers also enjoyed. About Martin Baxter. Martin Baxter. Books by Martin Baxter.

As dedicated readers already know, some of the best and most innovative stories on the shelves come from the constantly evolving realm of young ad Read more Trivia About Financial Calculus. No trivia or quizzes yet. Welcome back. Just a moment while we sign you in to your Goodreads account.

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Financial Calculus

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.

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Martin Baxter + Andrew Rennie

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. It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas. Chapter one explains the limitations of expectation pricing, introducing instead the use of "no arbitrage" constructions to derive prices. Beginning with the discrete case, chapter two introduces a simple binomial tree model. The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value.

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