BAXTER AND RENNIE FINANCIAL CALCULUS PDF
Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Stats, Xing, Summer 7. Reference. 1. Martin Baxter & Andrew Rennie ( ). Financial Calculus: An introduction to derivative pricing. Financial Calculus has 50 ratings and 3 reviews. Taylor said: This is the most intuitive and Martin Baxter,. Andrew Rennie. · Rating details · 50 ratings · 3 .
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Jack Gidding rated it it was ok Apr 12, A full Glossary of probabilistic and funancial terms is 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 Heath-Jarrow-Morton model.
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Sam Nazari rated it liked it Jan 18, Keelhaul rated it renni liked it Jan 02, Financial Calculus by Martin Baxter. Gleb rated it it was amazing Mar 23, Radha rated it it was amazing Apr 05, Refresh and try again.
Without a proper background to these topics, certain intuitive statements made in this book can be misleading.
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.
Ricardo rated it it was amazing Oct 10, Julius Zhang rated it it was amazing Jul 25, 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”. For financual, 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 in time.
Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background. Ben rated it really liked it Jul 16, 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.
I could have replaced several of my grad school classes with a self-directed course of study using this book. Trinh Quoc Anh rated it liked it Nov 07, Simon Thornington rated it it was amazing Sep 07, Alexander rated it liked it Mar 19, ca,culus This book is not yet featured on Listopia.
Misha rated it really liked it Jan 29, Some of this involves clever constructions, but it doesn’t add that much to the core theory.
Suzy rated it it was ok Sep 03, This is concise without being terse, clear, and comprehensive. Goodreads helps you keep track of books you want to read. The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value. 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 Heath-Jarrow-Morton model.
Minhao Gu rated it it was amazing Mar 09, Anthony P Badali rated it really liked it Jul 04, Want to Read Currently Reading 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: Preview — Financial Calculus by Martin Baxter. To ask other readers questions about Financial Calculusplease sign up. 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: Jan 31, Neal Groothuis 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.
Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality.
And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. There are no discussion topics on this book yet. And, retrospectively, I probably should have. Piotr rated it it was amazing Jun 13, Books by Martin Baxter.
There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery. This is a very nice, reasonably concise little monograph.
While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing.