Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Stats, Xing, Summer 7. Reference. 1. Martin Baxter & Andrew Rennie ( ). Financial Calculus: An introduction to derivative pricing. Financial Calculus has 50 ratings and 3 reviews. Taylor said: This is the most intuitive and Martin Baxter,. Andrew Rennie. · Rating details · 50 ratings · 3 .

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This is a “widely accepted model”, “sophisticated enough to produce interesting models and simple enough to be tractable”, “at least a plausible match to the real world”, and “a respectable stochastic model”.

And chapter five, which I only glanced over, builds progressively more complex models for interest rates. Chapter four applies and extends this to other kinds of securities: 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.

This is a very nice, reasonably concise little monograph. Jan 31, Neal Groothuis rated it it was amazing. Beginning with the discrete case, chapter two introduces a simple binomial tree model.

One concern I have is with the assumption of Brownian price movements, for which Baxter and Rennie offer no more than hand-waving support — but where, given the number of times they wave their hands, they clearly realise there is a problem.

And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data. Hardcoverpages.

Martin Baxter + Andrew Rennie

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: Kitlo rated it it was ok Jan anx, Keelhaul rated it really liked it Jan 02, Simon Thornington rated it it was amazing Sep 07, Chan-Ho rated it really liked it Apr 09, Alexander rated it liked it Mar 19, Minhao Gu rated it it was amazing Mar 09, Return to Book Page.


Piotr rated it it was amazing Jun 13, It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas. Ben rated it really liked it Jul 16, Lists with This Book. Mijrelax rated it it was amazing Jan 26, Emmanuel rated calvulus it was amazing Apr 15, Ricardo rated it it was amazing Oct 10, 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.

Financial Calculus (Martin Baxter, Andrew Rennie) – review

Snd, 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. More interestingly, chapter six extends the basic model: Financial Calculus by Martin Baxter. Feb 10, Taylor rated it it was amazing.

Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality. Chapter one explains the limitations of expectation pricing, introducing instead the use of “no arbitrage” constructions to derive prices. No trivia or quizzes financizl. Books by Martin Baxter. Goodreads helps you keep track of books you want to caalculus. There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery.


Just a moment while we sign you in to your Goodreads account. Sep 05, Austin rated it liked rennis Shelves: In contrast to messier models involving explicit simulations or numerical methods, it’s not so clear here how to evaluate the sensitivity of the results to uncertainties or to changes in the assumptions. Want to Read Currently Reading Read.

Trinh Quoc Anh rated it liked it Nov 07, To ask other readers calculua about Financial Calculusplease sign up. John rated it really liked it Aug 15, Gleb rated it it was amazing Mar 23, Duncan rated it really liked it Nov 30, This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures calculua I’ve yet encountered. And, retrospectively, I probably should have.

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.

Thanks for telling us about the problem. Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations. Hans-peter rated it it was amazing Aug 08, Paradoxically, I also worry about the very elegance and rigour of the results in Financial Calculus.