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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Minhao Gu rated it it was amazing Mar 09, Kitlo rated it it was ok Jan 20, For example, in the chapter that introduces the binomial asset pricing model, the authors describe filtrations as being the history of the price process renine to a given point in time.
Financial Calculus by Martin Baxter
Without a proper background to these topics, certain intuitive statements made in this book can be misleading. Goodreads helps you keep track of books you want to read. Financial Calculus by Martin Baxter. Julius Zhang rated it it was amazing Jul 25, Chapter one explains the limitations of expectation pricing, introducing instead the use of “no arbitrage” constructions to derive prices.
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 range of different financial instruments. Return to Book Page. No trivia or quizzes yet.
Just a moment while we sign you in to your Goodreads account. And, retrospectively, I probably should have. Emmanuel rated it it was amazing Apr 15, Want to Read Currently Reading Read.
Alexander baxted it liked it Mar 19, Feb 10, Taylor rated it it was amazing.
Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations. This is a very nice, reasonably concise little monograph.
Ricardo rated it it was amazing Oct 10, One concern I have is with the assumption of Brownian price movements, for which Baxter and Rennie offer no more than hand-waving support — but where, given the number of times they wave their hands, they clearly realise there is a problem.
Duncan rated it really liked it Nov 30, The models presented in Financial Calculus are abstractions, and obviously any real-world application would need to address a whole range of issues not considered: A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic bbaxter.
To see what your friends thought of this book, please sign up. Ben rated it really liked it Jul 16, 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 changes in the assumptions.
Radha rated it it was amazing Apr 05, John rated it really liked it Aug 15, In any event, there’s probably too much detail in Financial Calculus for anyone who isn’t actually planning to work in the finance industry. This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.
Thanks for telling us about the problem. Some of this involves clever constructions, but it doesn’t add that much to the core theory. Chapter four applies and extends this to other kinds of securities: This is a “widely accepted model”, “sophisticated 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”.
The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value. May External links: Hardcoverpages.
The only evidence provided is a comparison of two small and vaguely similar graphs, one of the UK FTA index from to and the other generated using exponential Brownian motion.
Martin Baxter + Andrew Rennie
Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. Federico rated it really liked it Jun 16, Sep 05, Austin rated it liked it Shelves: Refresh and try again.
I could have replaced several of my grad school classes with a self-directed course of study using this book. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered. Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality. While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing.