Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Stats, Xing, Summer 7. Reference. 1. Martin Baxter & Andrew Rennie ( ). Financial Calculus: An introduction to derivative pricing. Financial Calculus has 50 ratings and 3 reviews. Taylor said: This is the most intuitive and Martin Baxter,. Andrew Rennie. · Rating details · 50 ratings · 3 .
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Sep 05, Austin rated it liked it Shelves: Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations.
Kitlo rated it it was ok Jan 20, Alexander rated it liked it Mar 19, The real value of this book lies in how successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: Books by Martin Baxter.
Martin Baxter + Andrew Rennie
Ricardo rated it it was amazing Oct 10, No trivia or quizzes yet. Hans-peter rated it it was amazing Aug 08, Goodreads helps you keep track of renbie you want to read.
Misha rated it really liked it Jan calculud, Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality. Anthony P Badali rated it really liked it Jul 04, There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery.
More interestingly, chapter six extends the basic model: Unfortunately, this isn’t self-contained, and readers will need to consult other sources to get a ans rigorous introduction to the topics of measure theory, martingale theory, and rigorous probability theory. John rated it really liked it Aug 15, Robert Patterson rated it it was amazing Mar 18, Federico rated it really liked it Jun 16, Keelhaul rated it financila liked it Jan 02, Trivia About Financial Calculus.
Financial Calculus (Martin Baxter, Andrew Rennie) – review
Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.
Radha rated it it was amazing Apr 05, This is a “widely accepted model”, “sophisticated enough to produce interesting models fimancial simple enough to be tractable”, “at least a plausible match to the real world”, and “a respectable stochastic model”.
Just a moment while we sign you in to your Goodreads account. Feb 10, Taylor rated it it was amazing. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data. And, retrospectively, I probably should have. Financial Calculus by Martin Baxter. Jack Gidding rated it it was ok Apr 12, And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness.
There are no discussion topics on this book yet. Chapter four applies and extends this to other kinds of securities: This is a very nice, reasonably concise little monograph. Refresh and try again. Sam Nazari rated it liked it Jan 18, Jan rated it liked it Dec 30, 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-expected utility theory and pricing via equivalent martingale measures.
Preview — Financial Calculus by Martin Baxter. Ben rated it really liked it Baxtrr 16, Chapter one explains the limitations of expectation pricing, introducing instead the use of calculue arbitrage” constructions to derive prices.
To see what your friends thought of this book, please sign up. Julius Zhang rated it it was amazing Jul 25, The Radon-Nikodym derivative, the Cameron-Martin-Girsanov theorem, and the martingale representation theorem allow a similar construction to that of chapter two, coming together in the Black-Scholes theorem.
Minhao Gu rated it it was amazing Mar 09, This book is not yet featured on Listopia. One concern I have is with the assumption of Brownian price movements, for which Baxter and Rennie offer no more than hand-waving support — ad where, given the number of times they wave their hands, they clearly realise there is a problem.
Emmanuel rated it it was amazing Apr 15,