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Financial calculus : an introduction to derivative pricing

Author: Martin Baxter; Andrew Rennie
Publisher: Cambridge ; New York, NY : Cambridge University Press, 1996.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
Financial Calculus provides a rigorous and accessible account o the mathematics behind the pricing, construction and hedging of derivative securities.
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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Martin Baxter; Andrew Rennie
ISBN: 0521552893 9780521552899
OCLC Number: 34875874
Notes: Includes index.
Description: ix, 233 pages : illustrations ; 24 cm
Contents: The parable of the bookmaker --
Ch. 1. Introduction --
Ch. 2. Discrete processes --
Ch. 3. Continuous processes --
Ch. 4. Pricing market securities --
Ch. 5. Interest rates --
Ch. 6. Bigger models.
Responsibility: Martin Baxter, Andrew Rennie.

Abstract:

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.  Read more...
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'... 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 Read more...

 
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