Financial Calculus
An Introduction to Derivative Pricing
(Sprache: Englisch)
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
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Produktinformationen zu „Financial Calculus “
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
Klappentext zu „Financial Calculus “
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.
Inhaltsverzeichnis zu „Financial Calculus “
The parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.
Bibliographische Angaben
- Autoren: Martin Baxter , Andrew Rennie
- 244 Seiten, Masse: 15,7 x 23,5 cm, Gebunden, Englisch
- Verlag: Cambridge University Press
- ISBN-10: 0521552893
- ISBN-13: 9780521552899
- Erscheinungsdatum: 11.06.2015
Sprache:
Englisch
Rezension zu „Financial Calculus “
'... a very readable and useful introduction to the pricing of derivatives ... A recommendable book.' Wil Schilders, ITW Nieuws '... the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathematique
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