Financial Calculus : An Introduction to Derivative Pricing By Martin Baxter, Andrew Rennie

Martin Baxter, Andrew Rennie, «Financial Calculus : An Introduction to Derivative Pricing»
Publisher: Cambridge University Press (September 28, 1996) | ISBN-10: 0521552893 | ISBN-13: 978-0521552899 | 233 Pages | djVu | 3.8 mb

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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