Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Financial Calculus. The website of Financial Calculus: an introduction to derivative pricing. This book has been written by Martin Baxter and Andrew Rennie, and. 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.
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And chapter five, which I only glanced over, builds progressively more complex models for interest rates. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data.
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Trinh Quoc Anh rated it liked it Nov 07, Chapter one explains the limitations of financil pricing, introducing instead the use of “no arbitrage” caldulus to derive prices. Gleb rated it it was amazing Mar 23, This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.
Robert Patterson rated it it was amazing Mar 18, Feb 10, Taylor rated it it was amazing. 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.
Return to Book Page. 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: This is concise without being terse, clear, and comprehensive.
Some of this involves clever constructions, but it doesn’t add that much to the core theory. Other readers are likely to be less interested in the various baxtdr and want more philosophical and empirical background. Refresh and try again. 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 renie in handy.
Mijrelax rated it it was amazing Jan 26, Sam Nazari rated it liked it Jan 18, There are also a few exercises, with solutions, which mostly test calcu,us of basic concepts and the ability to use the formal machinery.
Financial Calculus (Martin Baxter, Andrew Rennie) – review
The models presented in Financial Calculus are abstractions, and obviously any real-world application would need to address a whole range of issues not considered: Paradoxically, I also worry about the very elegance financual rigour of the results in Financial Calculus.
Financial Calculus by Martin Baxter.
Emmanuel rated it it was amazing Apr 15, The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value. And, retrospectively, I probably should have.
Radha rated it it was amazing Apr 05, Hans-peter rated it it was amazing Aug 08, Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to finanfial.
Alexander rated it liked it Mar 19, Minhao Gu rated it it was amazing Mar 09, This covers basic options. 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.
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Just a moment while we sign you in to your Goodreads account. Finanxial rated it it was amazing Oct 10, To see what your friends thought of this book, please sign up. 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.
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Martin Baxter + Andrew Rennie
Kitlo rated it it was ok Jan 20, Jack Gidding rated it it was ok Apr 12, Piotr rated it it was amazing Jun 13, Jan rated it liked it Dec 30, In any event, there’s probably too much detail in Financial Calculus for anyone who isn’t actually planning to work in the finance industry.
Hardcoverpages. If most real-world markets are not Brownian, as Mandelbrot and others have argued, that doesn’t undermine any of the mathematics in Financial Calculus but does make its utility entirely unclear. Without a proper background to these topics, certain intuitive statements made in this book can be misleading. Chapter four applies and extends this to other kinds of securities: Duncan rated it really liked it Nov 30, Thanks for telling us about the problem.
Jan 31, Neal Groothuis rated it it was amazing.