ENGLISH

Financial Calculus: An Introduction to Derivative Pricing

By Martin Baxter , Andrew Rennie

Book information

Publisher
Cambridge University Press
Year
2012
ISBN
0521552893, 9780521552899
Language
english
Format
PDF
Filesize
10 MB (10109175 bytes)
Edition
20th
Pages
245\245
Topic
Economy
Scanned
yes
Time added
2014-09-21 19:13:37
Финансово-экономические дисциплины;Финансовая мате

Description

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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