000 | 01918nmm a2200217Ia 4500 | ||
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008 | 220920s9999||||xx |||||||||||||| ||und|| | ||
020 | _a9780511806636 | ||
082 |
_a332.63221 _bB335F |
||
100 |
_aBaxter, M. _eAuthor _lEnglish _91928 |
||
245 | 0 |
_aFinancial Calculus _b: An Introduction to Derivative Pricing _c/ by M. Baxter and A. Rennie. _h[Electronic Resource] |
|
260 |
_aCambridge _b: Cambridge University Press, _c1996 |
||
300 | _ax, 233p. | ||
520 | _aThe 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. | ||
650 |
_aEconomics _915748 |
||
650 |
_aFinance And Accountancy _915749 |
||
650 |
_aFinancial Calculus _915750 |
||
650 |
_aMathematical Finance _915751 |
||
700 |
_aRennie, A. _i[Author] _91933 |
||
856 |
_uhttps://doi.org/10.1017/CBO9780511806636 _qPDF _yClick to Access the Online Book |
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942 |
_cEBK _nYes |
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999 |
_c12265 _d12265 |