Financial Calculus by Martin W. Baxter
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Financial Calculus
By Martin W. Baxter

Financial Calculus

An Introduction to Derivative Pricing

By (author) See other recent books by Martin W. Baxter See other recent books by Andrew J. O. Rennie
Format: Hardback

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Financial Calculus by Martin W. Baxter

Book 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.

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Book Details

ISBN: 9780521552899
ISBN-10: 0521552893
Format: Hardback
(228mm x 152mm x 17mm)
Pages: 244
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 19-Sep-1996
Country of Publication: United Kingdom

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