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Financial Calculus: An Introduction to Derivative Pricing by [Baxter, Martin, Rennie, Andrew]
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Financial Calculus: An Introduction to Derivative Pricing 17th ed. Edition, Kindle Edition

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Length: 254 pages Enhanced Typesetting: Enabled Page Flip: Enabled
Language: English

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Product description


'... 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 "...a rigorous and accessible account of the probabilistic structure behind the pricing, construction, and hedging of derivative securities....Real examples from stock, currency, and interest rate markets are used. The text also gives a clear view and introduction to modern mathematical finance for probabilists and statisticians." The Journal of the American Statistical Association "This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering."

Product Description

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.

Product details

  • Format: Kindle Edition
  • File Size: 4136 KB
  • Print Length: 254 pages
  • Simultaneous Device Usage: Up to 4 simultaneous devices, per publisher limits
  • Publisher: Cambridge University Press; 17th ed. edition (19 September 1996)
  • Sold by: Amazon Australia Services, Inc.
  • Language: English
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Not Enabled
  • Enhanced Typesetting: Enabled
  • Average Customer Review: Be the first to review this item
  • Amazon Bestsellers Rank: #829,519 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
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Most helpful customer reviews on 4.0 out of 5 stars 27 reviews
Paul Bonyak
5.0 out of 5 starsFirst rate guide to financial calculus!
30 January 2016 - Published on
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3 people found this helpful
4.0 out of 5 starsGood intro to the math and pricing models
6 February 2012 - Published on
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2 people found this helpful
W. James D. Easton
5.0 out of 5 starsSuperb Introduction
26 December 2000 - Published on
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8 people found this helpful
Amazon Customer
5.0 out of 5 starsExcellent introduction
7 November 2007 - Published on
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5 people found this helpful
R Frey
4.0 out of 5 starsCompact, accessible yet rigorous introduction.
6 December 2004 - Published on
Verified Purchase
3 people found this helpful