Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.
Financial Calculus: An Introduction to Derivative Pricing
imusti
$87.56 - $109.45
- UPC:
- 9780521552899
- Maximum Purchase:
- 2 units
- Binding:
- Hardcover
- Publication Date:
- 1996-09-28
- Author:
- Martin Baxter;Andrew Rennie
- Language:
- english
- Edition:
- 17th ed.