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PRICING OF FINANCIAL DERIVATIVES KENNETH H. Introduction A nancial derivative, for example an option, is an instrument (contract) whose value depends on the values of some underlying variables, where the underlying can be a commodity, an interest rate, stock, a stock index, a currency, to mention just a few examples. Title: Cambridge University Press.Financial Calculus - An Introduction to Derivative Pricing.1996.ISBN.djvu Author (Jos 351 Francisco).
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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Calculks rated it it was amazing Apr 05, 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 finabcial in the assumptions.
Piotr rated it it was amazing Jun 13, And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. Emmanuel rated it it was amazing Apr 15, This book is not yet featured on Listopia.
Financial Calculus
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 aclculus time. 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.
Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery.
Financial Calculus
Goodreads helps you keep track of rehnie you want to read. 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: Chapter four applies and extends this to other kinds of securities: 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 Gennie model.
Jack Gidding rated it it was ok Apr 12, Books by Martin Baxter. The approach is based around martingales, or rrnnie whose expected future value, given the past history, is the same as the current value. Trinh Quoc Anh rated it liked it Nov 07, This covers basic options. The Radon-Nikodym derivative, the Cameron-Martin-Girsanov theorem, and the martingale representation theorem allow a similar construction to that of chapter two, coming together in the Black-Scholes fniancial.
Financial Calculus by Martin Baxter.
To ask other readers questions about Financial Calculusplease sign up. Sep 05, Austin rated it liked it Shelves: 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 comes in handy. Ricardo rated it it was amazing Oct 10, Baxtsr rated it it was ok Sep 03, Alexander rated it liked it Mar 19, Anthony P Badali rated it really liked it Jul 04, Return to Book Page.
This is a “widely accepted model”, fibancial 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”. This is concise without being terse, clear, and comprehensive.
Simon Thornington rated it it was amazing Sep 07, Trivia About Financial Calculus. Feb 10, Taylor rated it it was amazing.
This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered. Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations.