ENGLISH

Financial calculus: introduction to derivative pricing

By Martin Baxter , Andrew Rennie

Book information

Publisher
Cambridge University Press
Year
1996
ISBN
0521552893, 9780521552899
LCC
HG6024.A3 B39 1996
Open Library ID
OL972367M
Language
english
Format
DJVU
Filesize
2 MB (1963034 bytes)
Pages
241\241
Topic
Economy
Library
kolxoz
DPI
300
Time added
2009-07-20 03:45:11

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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