Financial Calculus - An Introduction to Derivative Pricing

✍ Scribed by Martin Baxter, Andrew Rennie

• Publisher: Cambridge University Press
• Year: 1996
• Tongue: English
• Leaves: 241
• Category: Library

✦ Synopsis

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.