Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Financial Calculus. The website of Financial Calculus: an introduction to derivative pricing. This book has been written by Martin Baxter and Andrew Rennie, and. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a.

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Beginning with the discrete case, chapter two introduces a simple binomial tree model. Federico rated it really liked aclculus Jun 16, Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations.

Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background. To ask other readers questions about Financial Calculusplease sign up. Suzy rated it it was ok Sep 03, It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas. Sam Nazari rated it liked it Jan 18, Just a moment while we sign you in to your Goodreads account.

And, retrospectively, I probably should have. Trinh Quoc Anh rated it liked it Nov 07, To see what your friends thought of this book, please sign up. There are no discussion topics on this book yet. This covers basic options. Some of this involves clever constructions, but it doesn’t add that much to the core theory. This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.


Duncan rated it really liked it Nov 30, While this is true for a simple binomial model, in continuous time filtrations have a much more subtle nature — this is where a suitable background in measure theory comes in handy.

Minhao Gu rated it it was amazing Mar 09, Chapter four applies and extends this to other kinds of securities: There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery. Hardcoverpages. Anthony Cakculus Badali rated it really liked it Jul 04, Feb 10, Taylor rated it it was amazing. Chapter one explains finaancial limitations of expectation pricing, introducing instead the use of “no arbitrage” constructions to derive prices.

Financial Calculus (Martin Baxter, Andrew Rennie) – review

John rated it really liked it Aug 15, Return to Book Finacial. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a range of different financial instruments. Ricardo rated it it was amazing Oct 10, Piotr rated it it was amazing Jun 13, Unfortunately, this isn’t self-contained, and readers will need to consult other sources to get a full rigorous introduction to the topics of measure theory, martingale theory, and rigorous probability theory.

Refresh and try again. The only evidence provided is a comparison of two small and vaguely similar graphs, baxteer of the UK FTA index from to and the other generated using exponential Brownian motion. The real value of this book lies in calchlus successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: Financial Calculus by Martin Baxter.


Martin Baxter + Andrew Rennie

In any event, there’s probably too much detail in Financial Calculus for anyone who isn’t actually planning to work in the finance industry. Kitlo rated it it was ok Jan 20, More interestingly, chapter six extends the basic model: This book is not yet featured on Listopia.

Hans-peter rated it it was amazing Aug 08, Jack Gidding rated it it was ok Apr 12, Jan rated it liked it Dec 30, Emmanuel rated it it was amazing Apr 15, Lists with This Book.

Keelhaul rated it really liked it Jan 02, Simon Thornington rated it it was amazing Sep 07, This is concise without being terse, clear, and comprehensive. Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data.

Financial Calculus

Goodreads helps you keep track of books you want to read. And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. Without a proper background to these topics, certain intuitive statements made in this book can be misleading. This is a “widely accepted model”, “sophisticated enough to produce interesting models and simple enough to be tractable”, “at least a plausible match to the real world”, and “a respectable stochastic model”.