Financial Calculus
An Introduction to Derivative Pricing

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The rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including Black-Scholes) are developed. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and financial terms is provided. This unique book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders.

AuthorMartin Baxter
Edition17th ed.
Height898 mm
Length598 mm
Width71 mm
Weight125 g
Language TypePublished
Number Of Items1
Number Of Pages244
Package Quantity1
Part Number09680327
Product GroupBook
Publication Date1996-09-19
PublisherCambridge University Press
StudioCambridge University Press
Sales Rank232619

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