Financial Calculus

An introduction to derivative pricing

Martin Baxter, Andrew Rennie

234 pages, parution le 15/09/1997

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Résumé

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. This unique, modern and up-to-date book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.

First treatment combining both market knowledge and mathematical rigour; numerous graphs, charts and examples
First clear rigorous discussion of interest rate models
Written with market practitioners in mind, in clear intelligent style

Sommaire

The parable of the bookmaker
Introduction
Discrete processes
Continuous processes
Pricing market securities
Interest rates
Bigger models

Appendix 1. Further reading
Appendix 2. Notation
Appendix 3. Answers to exercises
Appendix 4. Glossary of technical terms

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	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Martin Baxter, Andrew Rennie
Parution	15/09/1997
Nb. de pages	234
Format	16 x 24
Couverture	Broché
Poids	575g
Intérieur	Noir et Blanc
EAN13	9780521552899
ISBN13	978-0-521-55289-9